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Publication Metadata only A dynamic asset pricing model with time-varying factor and idiosyncratic risk(Oxford University Press (OUP), 2009) Department of Economics; Glabadanidis, Paskalis; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AThis paper uses a multivariate GaRCH model to account for time variation in factor loadings and idiosyncratic risk in improving the performance of the CaPM and the three-factor Fama-French model. I show how to incorporate time variation in betas and the second moments of the residuals in a very general way. Both the static and conditional CaPM substantially outperform the three-factor model in pricing industry portfolios. Using a dynamic CaPM model results in a 30% reduction in the average absolute pricing error of size/book-to-market portfolios. ad hoc analysis shows that the market beta of a value-minus-growth portfolio decreases whenever the default premium increases as well as during economic recessions.Publication Metadata only A note on the valuation of compound options(John Wiley & Sons Inc, 2002) N/A; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/AThe value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims, The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option.Publication Metadata only Aggregate investor preferences and beliefs: a comment(Elsevier Science Bv, 2013) Kopa, Milos; N/A; Post, Gerrit Tjeerd; Other; Graduate School of Business; N/AA recent study in this journal presents encouraging results of a daunting simulation analysis of the statistical properties of a centered bootstrap approach to stochastic dominance efficiency analysis. However, by relying on the first-order optimality condition in a situation where multiple optima may occur, the empirical analysis draws the questionable conclusion that some of the toughest data sets in empirical asset pricing can be rationalized by the representative investor maximizing an S-shaped utility function, consistent with the so-called Prospect Stochastic Dominance criterion. Further research could be directed to developing global optimization algorithms and consistent re-sampling methods for statistical inference for general risky choice problems.Publication Open Access Base-rate information in consumer attributions of product-harm crises(American Marketing Association (AMA), 2012) Lei, Jing; Dawar, Niraj; Department of Business Administration; Department of Business Administration; Canlı, Zeynep Gürhan; Researcher; Department of Business Administration; College of Administrative Sciences and Economics; 16135Consumers spontaneously construct attributions for negative events such as product-harm crises. Base-rate information influences these attributions. The research findings suggest that for brands with positive prior beliefs, a high (vs. low) base rate of product-harm crises leads to less blame if the crisis is said to be similar to others in the industry (referred to as the "discounting effect"). However, in the absence of similarity information, a low (vs. high) base rate of crises leads to less blame toward the brand (referred to as the "subtyping effect"). For brands with negative prior beliefs, the extent of blame attributed to the brand is unaffected by the base-rate and similarity information. Importantly, the same base-rate information may have a different effect on the attribution of a subsequent crisis depending on whether discounting or subtyping occurred in the attribution of the first crisis. Consumers who discount a first crisis also tend to discount a second crisis for the same brand, whereas consumers who subtype a first crisis are unlikely to subtype again.Publication Metadata only Competing perspectives in international marketing strategy: contingency and process models(American Marketing Association (AMA), 2000) Prussia, GE; Department of Business Administration; Tunalı, Ayşegül Özsomer; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 108158Empirical studies investigating the relationship between marketing standardization and performance have generated mixed results. This study investigates the causal ordering between marketing strategy and marketing structure as determinants of subsidiary performance. The authors propose a multiple contingencies approach that tests both the contingency (e.g., Chandler 1962) and the process (e.g., Bower 1970) frameworks in the subsidiary context. Findings based on a two-phase longitudinal study provide initial support for the framework that suggests that marketing structure follows marketing strategy. In response to increased target market similarity, companies in the study opted for more standardized marketing strategies. Furthermore, centralization of structure mediated the relationship between marketing strategy and subsidiary performance. The performance impact of centralization, however, was cross-lagged and negative. Results suggest adapting marketing strategies to local markets as a way of enhancing performance.Publication Metadata only Effects of system parameters on the optimal cost and policy in a class of multidimensional queueing control problems(The Institute for Operations Research and the Management Sciences (INFORMS), 2018) Vercraene, Samuel; Gayon, Jean-Philippe; Department of Industrial Engineering; Karaesmen, Fikri; Faculty Member; Department of Industrial Engineering; College of Engineering; 3579We consider a class of Markov Decision Processes frequently employed to model queueing and inventory control problems. For these problems, we explore how changes in different system input parameters (transition rates, costs, discount rates etc.) affect the optimal cost and the optimal policy when the state space of the problem is multidimensional. To address a large class of problems, we introduce two generic dynamic programming operators to model different types of controlled events. For these operators, we derive sufficient conditions to propagate monotonicity and supermodularity properties of the value function. These properties allow to predict how changes in system input parameters affect the optimal cost and policy. Finally, we explore the case when several parameters are changed at the same time.Publication Metadata only Firm complexity and post-earnings announcement drift(Springer) Barinov, Alexander; Park, Shawn Saeyeul; Department of Business Administration; Yıldızhan, Çelim; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 328466We show that the post-earnings announcement drift (PEAD) is stronger for conglomerates than single-segment firms. Conglomerates, on average, are larger than single segment firms, so it is unlikely that limits-to-arbitrage drive the difference in PEAD. Rather, we hypothesize that market participants find it more costly and difficult to understand firm-specific earnings information regarding conglomerates, as they have more complicated business models than single-segment firms. This in turn slows information processing about them. In support of our hypothesis, we find that, compared to single-segment firms with similar firm characteristics, conglomerates have relatively low institutional ownership and short interest, are covered by fewer analysts, and these analysts have less industry expertise and make larger forecast errors. Finally, we find that an increase in organizational complexity leads to larger PEAD and document that more complicated conglomerates have even greater PEAD. Our results are robust to an extensive list of alternative explanations of PEAD as well as alternative measures of firm complexity.Publication Metadata only Global brand purchase likelihood: a critical synthesis and an integrated conceptual framework(Sage Publications inc, 2008) N/A; Department of Business Administration; N/A; Tunalı, Ayşegül Özsomer; Altaras, Selin; Faculty Member; PhD Student; Department of Business Administration; College of Administrative Sciences and Economics; Graduate School of Business; 108158; N/AThe authors build a model of global brand attitude and purchase likelihood with a nomological net comprised of constructs derived from three theoretical streams in consumer behavior: consumer culture theory, signaling theory, and the associative network memory model. By integrating these diverse theories, the authors provide a conceptual framework, explaining the processes leading to consumers' attitudes toward and likelihood of purchasing global brands. Global brand authenticity cultural capital, and perceived brand globalness are constructs based mainly on consumer culture theory, and global brand credibility is borrowed from signaling theory. Global brand quality, social responsibility, prestige, and relative price are included as brand associations, deriving mainly from the associative network memory model. These constructs have direct and indirect effects on global brand attitude and global brand purchase likelihood, reflecting the three-dimensional belief-attitude-behavior model in consumer behavior. The authors also introduce self-construal and cosmopolitanism as two pertinent moderators of some of the model paths.Publication Open Access Heterogeneous price effects of consolidation:evidence from the car rental industry(The Institute for Operations Research and the Management Sciences (INFORMS), 2020) Misra, Kanishka; Singh, Vishal; Department of Business Administration; Güler, Ali Umut; Faculty Member; Department of Business Administration; College of Administrative Sciences and Economics; 143349We study the price effects of consolidation in the car rental industry using three cross-sections of price data from U.S. airport markets spanning the years 2005 to 2016. The auto rental industry went through a series of mergers during this period, leading to a significant increase in market concentration. We find that the concentration of ownership affects the business (weekday) and leisure (weekend) segments differently. Average weekday prices rose by 2.1% and weekend prices fell by 3.3% with the increase in market concentration. Given the periodic differences in demand from business and leisure travelers, we explain this finding with a model of horizontal product differentiation that allows for heterogeneity in customer types and firms’ marginal costs. Consolidation leads to marginal cost savings, but the extent to which these savings are passed onto different customer types depends on the magnitude of switching costs. In particular, weekday customers with high switching costs are charged higher prices because of suppliers’ augmented market power whereas the more price-sensitive weekend segment enjoys the lower prices facilitated by efficiency gains. Our findings highlight that consolidation can have differential welfare effects on different customer groups and merger analyses should account for the heterogeneous impact based on firms’ price discrimination practices rather than just considering average effects.Publication Metadata only How consumers' economic and psychological vulnerabilities impact their consumption regulation during crisis(Wiley, 2024) Karaosmanoğlu, Elif; Okan, Mehmet; Altıniğne, Neşenur; Demir, Özge; İdemen, Elif; Işıksal, Didem Gamze; Graduate School of BusinessThis paper focuses on the economic and psychological vulnerabilities that are intensified due to the effects of the COVID-19 pandemic on individuals' health, education and living standards. The deteriorating mental and financial conditions of individuals, called psychological and economic vulnerability, have made an impact on consumers' consumption patterns and habits. This study has proposed that when consumer vulnerabilities increase, consumers will be more likely to express prosocial behaviours and assume higher social capital change that may influence their consumption regulations. The findings are based on a panel survey of 786 individuals via CATI in two waves of data collection in Turkiye (Wave I: 20 July-10 August 2020;Wave II: 20 November-10 December 2020). In Wave I, it is found that when individuals face economic and psychological vulnerability, their tendency to show prosocial behaviour is negatively affected. In Wave II, when the COVID-19 cases peaked, while economic vulnerability still leads to lower prosocial behaviour, psychological vulnerability gets reversed and results in higher prosocial behaviour. Interestingly, in both waves, when consumers perceive positive social capital change due to increased prosocial behaviour, they are less likely to show consumption regulation.