scholarly journals Valuing the Future, Discounting in Random Environments: A Review

2021 ◽  
Author(s):  
Jaume Masoliver ◽  
Miquel Montero ◽  
Josep Perelló ◽  
J. Doyne Farmer ◽  
John Geanakoplos
Keyword(s):  
Empirical Studies ◽  
Market Price ◽  
Point Of View ◽  
Random Environments ◽  
Long Run ◽  
Price Of Risk ◽  
Future Discounting ◽  
Pricing Theory ◽  
Risk Neutral Measures ◽  
Far Future

We address the process of discounting in random environments which allows to value the far future in economic terms. We review several approaches to the problem regarding different well-established stochastic market dynamics in the continuous-time context and include the Feynman-Kac approach. We also review the relation between bond pricing theory and discount and introduce the market price of risk and the risk neutral measures from an intuitive point of view devoid of excessive formalism. We provide the discount for each economic model and discuss their key results. We finally present a summary of our previous empirical studies on several countries of the long-run discount problem.

Theoretical Identifications of the Market Price of Risk under the Affine Interest Rate Model with Jumps

2005 ◽  
Vol 13 (2) ◽  
pp. 133-143
Author(s):  
Joon Hee Rhee
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Empirical Studies ◽  
Market Price ◽  
Rate Theory ◽  
Rate Model ◽  
Change Of Measure ◽  
Market Price Of Risk ◽  
Price Of Risk ◽  
Interest Rate Model

Any finance models must specify the market prices of risk that determines the relationship between the two probability measures. Although the general form of the change of measure is well known, few papers have investigated the change of measure for interest rate models and their implications for the way a model can fit to empirical facts about the behaviour of interest rates. This paper demonstrates that arbitrary specifications of market price of risk in empirical studies under the two factor affine interest rate model with jumps are not compatible with the theory of original interest rate model. Particularly, the empirical models of Duffee (2002) and Duarte (2003) may be wrong specifications in some parts under a rigorous theoretical interest rate theory.

Internal migration in Italy. Long-run analysis of push and pull factors across regions and macro-areas of the country.

2016 ◽  
Vol 13 (3) ◽  
pp. 443-454
Author(s):  
Piras Romano
Keyword(s):  
Gravity Model ◽  
Internal Migration ◽  
Empirical Studies ◽  
Great Majority ◽  
Pull Factors ◽  
Push And Pull Factors ◽  
Long Run ◽  
Italian Regions ◽  
Migration Flows ◽  
Push And Pull

The great majority of empirical studies on internal migration across Italian regions either ignores the long-run perspective of the phenomenon or do not consider push and pull factors separately. In addition, Centre-North to South flows, intra-South and intra-Centre-North migration have not been studied. We aim to fill this gap and tackle interregional migration flows from different geographical perspectives. We apply four panel data estimators with different statistical assumptions and show that long-run migration flows from the Mezzogiorno towards Centre-Northern regions are well explained by a gravity model in which per capita GDP, unemployment and population play a major role. On the contrary, migration flows from Centre-North to South has probably much to do with other social and demographic factors. Finally, intra Centre-North and intra South migration flows roughly obey to the gravity model, though not all explicative variables are relevant.

Empirical Evaluation of the Market Price of Risk Using the CIR Model

2005 ◽  
Author(s):  
Massimo Bernaschi ◽  
Luca Torosantucci ◽  
Adamo Uboldi
Keyword(s):  
Market Price ◽  
Empirical Evaluation ◽  
Market Price Of Risk ◽  
Cir Model ◽  
Price Of Risk

scholarly journals Implicit incentives for fund managers with partial information

2021 ◽  
Author(s):  
Flavio Angelini ◽  
Katia Colaneri ◽  
Stefano Herzel ◽  
Marco Nicolosi
Keyword(s):  
Asset Allocation ◽  
Partial Information ◽  
Market Price ◽  
Investment Strategy ◽  
Expected Returns ◽  
Martingale Method ◽  
Fund Manager ◽  
Market Price Of Risk ◽  
Fund Managers ◽  
Price Of Risk

AbstractWe study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the manager is to maximise the expected utility of her final wealth. The manager observes the prices but not the values of the market price of risk that drives the expected returns. Estimates of the market price of risk get more precise as more observations are available. We formulate the problem as an optimization under partial information. The particular structure of the incentives makes the objective function not concave. Therefore, we solve the problem by combining the martingale method and a concavification procedure and we obtain the optimal wealth and the investment strategy. A numerical example shows the effect of learning on the optimal strategy.

scholarly journals Determinants of Corporate Anti-Corruption Disclosure: The Case of the Emerging Economics

2021 ◽  
Vol 13 (6) ◽  
pp. 3462
Author(s):  
Maider Aldaz Odriozola ◽  
Igor Álvarez Etxeberria
Keyword(s):  
Empirical Studies ◽  
Geographical Area ◽  
Control Variable ◽  
Emerging Countries ◽  
Point Of View ◽  
Press Freedom ◽  
Negative Effects ◽  
Key Factor ◽  
Using Data ◽  
Positive Effect

Corruption is a key factor that affects countries’ development, with emerging countries being a geographical area in which it tends to generate greater negative effects. However, few empirical studies analyze corruption from the point of view of disclosure by companies in this relevant geographical area. Based on a regression analysis using data from the 96 large companies from 15 emerging countries included in the 2016 International Transparency Report, this paper seeks to understand what determinants affect such disclosure. In that context, this paper provides empirical evidence to understand the factors that influence reporting on anti-corruption mechanisms in an area of high economic importance that has been little studied to date, pointing to the positive effect of press freedom in a country where the company is located and with the industry being the unique control variable that strengthens this relationship.

scholarly journals Jump-Diffusion Models for Valuing the Future: Discounting under Extreme Situations

Mathematics ◽  
2021 ◽  
Vol 9 (14) ◽  
pp. 1589
Author(s):  
Jaume Masoliver ◽  
Miquel Montero ◽  
Josep Perelló
Keyword(s):  
Diffusion Process ◽  
Discount Rate ◽  
Continuous Time ◽  
Environmental Planning ◽  
Dynamical Evolution ◽  
Jump Diffusion ◽  
Economic Evolution ◽  
Discount Function ◽  
Long Run ◽  
Future Discounting

We develop the process of discounting when underlying rates follow a jump-diffusion process, that is, when, in addition to diffusive behavior, rates suffer a series of finite discontinuities located at random Poissonian times. Jump amplitudes are also random and governed by an arbitrary density. Such a model may describe the economic evolution, specially when extreme situations occur (pandemics, global wars, etc.). When, between jumps, the dynamical evolution is governed by an Ornstein–Uhlenbeck diffusion process, we obtain exact and explicit expressions for the discount function and the long-run discount rate and show that the presence of discontinuities may drastically reduce the discount rate, a fact that has significant consequences for environmental planning. We also discuss as a specific example the case when rates are described by the continuous time random walk.

The reflexive turn in key account management

2014 ◽  
Vol 48 (11/12) ◽  
pp. 2071-2104 ◽  
Author(s):  
Markus Vanharanta ◽  
Alan J.P. Gilchrist ◽  
Andrew D. Pressey ◽  
Peter Lenney
Keyword(s):  
Empirical Studies ◽  
Negative Relationship ◽  
Success Rates ◽  
Key Account Management ◽  
Content Type ◽  
Account Management ◽  
Long Run ◽  
Key Account ◽  
And Performance ◽  
The Uk

Purpose – This study aims to address how and why do formal key account management (KAM) programmes hinder effective KAM management, and how can the problems of formalization in KAM be overcome. Recent empirical studies have reported an unexpected negative relationship between KAM formalization and performance. Design/methodology/approach – An 18-month (340 days) ethnographic investigation was undertaken in the UK-based subsidiary of a major US sports goods manufacturer. This ethnographic evidence was triangulated with 113 in-depth interviews. Findings – This study identifies how and why managerial reflexivity allows a more effectively combining of formal and post-bureaucratic KAM practices. While formal KAM programmes provide a means to initiate, implement and control KAM, they have an unintended consequence of increasing organizational bureaucracy, which may in the long-run hinder the KAM effectiveness. Heightened reflexivity, including “wayfinding”, is identified as a means to overcome many of these challenges, allowing for reflexively combining formal with post-bureaucratic KAM practices. Research limitations/implications – The thesis of this paper starts a new line of reflexive KAM research, which draws theoretical influences from the post-bureaucratic turn in management studies. Practical implications – This study seeks to increase KAM implementation success rates and long-term effectiveness of KAM by conceptualizing the new possibilities offered by reflexive KAM. This study demonstrates how reflexive skills (conceptualized as “KAM wayfinding”) can be deployed during KAM implementation and for its continual improvement. Further, the study identifies how KAM programmes can be used to train organizational learning regarding KAM. Furthermore, this study identifies how and why post-bureaucratic KAM can offer additional benefits after an organization has learned key KAM capabilities. Originality/value – A new line of enquiry is identified: the reflexive-turn in KAM. This theoretical position allows us to identify existing weakness in the extant KAM literature, and to show a practical means to improve the effectiveness of KAM. This concerns, in particular, the importance of managerial reflexivity and KAM wayfinding as a means to balance the strengths and weaknesses of formal and post-bureaucratic KAM.

On the market price of risk

2021 ◽  
Author(s):  
Robert Korkie ◽  
Harry Turtle
Keyword(s):  
Market Price ◽  
Market Price Of Risk ◽  
Price Of Risk

Best-value supply chains and firms’ competitive performance: empirical studies of their linkage

2015 ◽  
Vol 35 (12) ◽  
pp. 1688-1709 ◽  
Author(s):  
Xun Li ◽  
Qun Wu ◽  
Clyde W. Holsapple
Keyword(s):  
Supply Chains ◽  
Competitive Advantage ◽  
Empirical Studies ◽  
Abnormal Returns ◽  
Competitive Performance ◽  
Content Type ◽  
Long Run ◽  
Best Value ◽  
Multiple Method ◽  
The Impact

Purpose – Best-value supply chains characterized by agility, adaptability, and alignment, have become a crucial strategic means for firms to create and sustain competitive advantage in today’s turbulent environment. The purpose of this paper is to investigate linkage between best-value supply chains and firms’ competitive performance. Design/methodology/approach – In Study 1, survey data from 76 firms is used to test the impact of the three qualities of best-value supply chains on firms’ competitive performance. In Study 2, to test if a firm’s competitive advantage can be sustained through building best-value supply chains, a long-run performance analysis is conducted, which is based on a stock portfolio of firms identified from the American Marketing Association’s annual list of “Supply Chain Top 25.” Findings – The results of Study 1 indicate that the three qualities of best-value supply chains are positively related to firms’ competitive performance. The results of Study 2 show that firms having best-value supply chains generate significant and positive abnormal returns for shareholders over time. Originality/value – This is a multiple-method research, providing two-level empirical evidence to the investigation of theoretical linkage between best-value supply chains and firms’ competitive performance.

scholarly journals Dynamic Integrated Model for Assessing Fisheries: Discard Bans as an Implicit Value-Added Tax

2021 ◽  
Author(s):  
Jose Maria Da Rocha ◽  
Javier García-Cutrín ◽  
Maria-Jose Gutiérrez ◽  
Raul Prellezo ◽  
Eduardo Sanchez
Keyword(s):  
Value Added ◽  
Point Of View ◽  
Value Added Tax ◽  
Biological Variables ◽  
A Value ◽  
Long Run ◽  
The Social ◽  
Negative Effect ◽  
Short Run ◽  
The Impact

AbstractIntegrated economic models have become popular for assessing climate change. In this paper we show how these methods can be used to assess the impact of a discard ban in a fishery. We state that a discard ban can be understood as a confiscatory tax equivalent to a value-added tax. Under this framework, we show that a discard ban improves the sustainability of the fishery in the short run and increases economic welfare in the long run. In particular, we show that consumption, capital and wages show an initial decrease just after the implementation of the discard ban then recover after some periods to reach their steady-sate values, which are 16–20% higher than the initial values, depending on the valuation of the landed discards. The discard ban also improves biological variables, increasing landings by 14% and reducing discards by 29% on the initial figures. These patterns highlight the two channels through which discard bans affect a fishery: the tax channel, which shows that the confiscation of landed discards reduces the incentive to invest in the fishery; and the productivity channel, which increases the abundance of the stock. Thus, during the first few years after the implementation of a discard ban, the negative effect from the tax channel dominates the positive effect from the productivity channel, because the stock needs time to recover. Once stock abundance improves, the productivity channel dominates the tax channel and the economic variables rise above their initial levels. Our results also show that a landed discards valorisation policy is optimal from the social welfare point of view provided that incentives to increase discards are not created.

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