Robert J. Elliott, Tak Kuen Siu and Alex Badescu
The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed…
Abstract
Purpose
The purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)‐economic conditions on interest‐rate dynamics. The market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account.
Design/methodology/approach
The market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account.
Findings
The authors derive a simple way to give exponential affine forms of bond prices using backward induction. The authors also consider a continuous‐time extension of the model and derive exponential affine forms of bond prices using the concept of stochastic flows.
Originality/value
The methods and results presented in the paper are new.
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Senthil Kumar B., Anita Rachel D. and Sentil Kumar C.B.
Eri silk fiber has superior thermal insulation behavior, better softness than cotton fiber. However, Eri silk’s use in the commercial arena has not yet taken off. The purpose of…
Abstract
Purpose
Eri silk fiber has superior thermal insulation behavior, better softness than cotton fiber. However, Eri silk’s use in the commercial arena has not yet taken off. The purpose of the study is to explore the comfort properties of the fabric, which enhances the commercial acceptance of Eri silk clothing.
Design/methodology/approach
In this investigation, three different single knit Eri silk structures were produced with different loop lengths and yarn counts to analyze the influence of process variables on low-stress mechanical properties. To execute the research work, Eri silk spun yarn of three different linear densities (15 tex, 20 tex, 25 tex) were chosen. Three different knitted structures were produced, such as single jersey, popcorn and cellular blister, and two different loop lengths were also selected.
Findings
The cellular blister structure has shown appreciable low-stress properties next highest position was attained by the popcorn structure. Yarn fineness and loop length were significant with most of the low-stress properties.
Research limitations/implications
The findings of this research will contribute to a greater awareness of Eri silk knitted fabric and its process parameters in relation to its commercial utility.
Originality/value
This study was conducted to explore the influence of knit structure, loop length and yarn count on the low-stress properties of Eri silk-based thermal clothing.
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Fangcheng Hao and Hailiang Yang
The purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching…
Abstract
Purpose
The purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy.
Design/methodology/approach
The risk measure is constructed by using the risk‐neutral probability, the physical probability and a family of subjective probability measures. The subjective probabilities can be interpreted as risk managers or regulators' risk preferences and/or subjective beliefs.
Findings
The authors provide closed form expressions for the European option and barrier option.
Research limitations/implications
The results are difficult to apply to a portfolio with many different kinds of options.
Practical implications
The results provide some insights on risk management of portfolios with derivatives.
Originality/value
The paper presents a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy. Risk management is the most important task for almost all financial industries, although it cannot be claimed that the method and results of this paper solve the problem, it is believed to provide some insights to the problem, albeit theoretical. For vanilla European options and barrier options, the authors obtained a closed form expression for the risk measure. The idea of this paper can be applied to some other exotic options. For portfolios containing different kinds of derivatives, the results of this paper provide some guideline and insights.
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Sina Aghaie, Omid Kamran-Disfani, Amir Javadinia, Maryam Farhang and Ashok Bhattarai
The purpose of this study is to empirically investigate the impact of incumbents’ defensive strategies, specifically price-cut and capacity expansion, on new entrants’ (NEs) exit…
Abstract
Purpose
The purpose of this study is to empirically investigate the impact of incumbents’ defensive strategies, specifically price-cut and capacity expansion, on new entrants’ (NEs) exit decisions and examine the moderating role of incumbents’ relational market-based assets (RMBAs).
Design/methodology/approach
Drawing upon real options theory, an empirical study using logistic regression is conducted on a rich, multi-market data set of NE exits between 1997 and 2019 in the U.S. airline industry.
Findings
Contrary to intuitive expectation, the results show that cutting prices in response to entry reduces NEs’ likelihood of market exit. However, when incumbents possess strong RMBAs, using a price cut proves to be effective in pushing NEs out of a market. Moreover, an NEs’ exit likelihood is higher when incumbents expand capacities in response to entry.
Research limitations/implications
In this study, market exit is defined as a complete withdrawal from the market and operationalized as a binary variable. Future research could examine different degrees of downscaling by NEs while remaining in the market.
Practical implications
This research demonstrates the opposing effects of price-cut and capacity expansion and the crucial role of RMBAs and advises managers to be cautious and consider trade-offs when implementing their defensive strategies to push NEs out of their markets.
Originality/value
This study contributes to the literature by examining the impact of incumbents’ defensive strategies, price-cut and capacity expansion, side by side and exploring the moderating role of RMBAs. Extant research has focused on antecedents of defensive strategies, whereas the consequences are the focus of this research.
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Mavis T. Adjei, Nan Zhang, Ramin Bagherzadeh, Maryam Farhang and Ashok Bhattarai
This research aims to provide a theory-based means for firms to improve customers' likelihood to provide reviews and elicit reviews that are more accurate accounts of customers'…
Abstract
Purpose
This research aims to provide a theory-based means for firms to improve customers' likelihood to provide reviews and elicit reviews that are more accurate accounts of customers' consumption experience. The authors also examined the moderating impact of type of review (whether the reviews are anonymous or identified) on the effect of moral identity on the likelihood to provide reviews and accuracy of the reviews.
Design/methodology/approach
Data were collected via two experiments (n = 524) in lab sessions. The authors used convenient samples comprised of college students and administrative staff. Study 1 was used to examine the impact of participants' naturally existing moral identity on the likelihood to provide reviews and the accuracy of the reviews provided. Study 2 was used to investigate whether moral identity can be artificially activated or not. Study 2 was also used to test the moderating impact of the type of review on the effect of moral identity (activated vs not activated/control) on likelihood to provide reviews and the accuracy of the reviews provided.
Findings
The authors found that moral identity positively impacts the likelihood that customers will agree to provide reviews and the accuracy of the reviews. Also, the type of review moderates the effect of moral identity for those whose moral identity was not activated (i.e. uninfluenced). However, the type of review did not moderate the effect of moral identity when participants' moral identity was activated or primed.
Originality/value
Strategies currently used to elicit online reviews yield low conversion rates or elicit reviews that potential customers do not trust. This paper provides an empirically tested, theory-driven means for managers of digital platforms to improve customer engagement behaviors such as “liking”, tweeting, sharing and product reviews.
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This study examined the effectiveness of a 4.5-day service leadership program for students from Chinese universities using objective outcome evaluation. The participants were…
Abstract
This study examined the effectiveness of a 4.5-day service leadership program for students from Chinese universities using objective outcome evaluation. The participants were assessed before and after the program, with two post-test measurements (immediate assessment and assessment 12 days after the completion of class learning). At pretest and two posttest time points, the participants completed a questionnaire measuring positive youth development, service leadership qualities and beliefs, and life satisfaction. Results showed that students’ performance in both the immediate posttest and follow-up test was better than that in the pretest. Despite the limitations of the one-group pretest-posttest design, results suggest that the curricular-based service leadership program was effective to promote students’ positive youth development, service leadership qualities and beliefs, as well as life satisfaction, and the effectiveness maintained a short period after the class had ended. While the existing findings are promising, these findings should be replicated in the future.
L. Lau, T. Siu, J. Fan, L.Y.C. Siu and E. Newton
Two groups of fabric samples: six 100% cotton twill fabrics with different level of wrinklefree treatment, and six 100% cotton twill fabrics without wrinkle-free treatment were…
Abstract
Two groups of fabric samples: six 100% cotton twill fabrics with different level of wrinklefree treatment, and six 100% cotton twill fabrics without wrinkle-free treatment were experimentally studied. These fabrics were tested in terms of nitrogen content, swelling index (water retention), tear strength and dynamic water absorption rate. The nitrogen content was considered as a probably better indicator of the level of wrinkle-free treatment than the swelling index (water retention) commonly used in the industry. In this work, the relationship between the nitrogen content and swelling index (water retention) were studied. The effects of nitrogen content and swelling index (water retention) on the tear strength and the dynamic water absorbency were investigated
The results showed that
The swelling index (water retention) has a strong linear relationship with the total nitrogen content in the fabric. The higher nitrogen content, the lower the swelling index (water retention).
The fabric tear strength is highly correlated with the total nitrogen content or the swelling index (water retention). High nitrogen content or low swelling index (water retention), which may be resulted from the wrinkle-free treatment, causes low tear strength
High nitrogen content or low swelling index (water retention) reduces the water absorption rate of the fabric and increases the contact angle when the water drop is in initial contact of the fabric.
In general, the study showed that swelling index (water retention), a simple test commonly used in the industry, is as good a parameter as the nitrogen content, which is difficult to measure, for evaluating the level of wrinkle-free treatment. Wrinkle-free treatment can generally reduce the tear strength and the dynamic water absorption rate. The former is a property important to fabric durability and the latter is a property important to clothing comfort.
Mohammadali Zarjou and Mohammad Khalilzadeh
This study aims to develop a model for project portfolio selection considering organizational goals such as budgets, sustainability cash flow and reinvestment strategy under an…
Abstract
Purpose
This study aims to develop a model for project portfolio selection considering organizational goals such as budgets, sustainability cash flow and reinvestment strategy under an uncertain environment.
Design/methodology/approach
A multi-objective mathematical programming model is proposed for project selection, which takes the social, environmental and financial aspects into account as the objectives of the project portfolio selection problem. The project evaluation and selection process in one of the large capitals in the Middle East with numerous urban construction projects was considered as a real case study, in which the subjects of environmental and social sustainability are of great importance. Then, the most significant criteria for project evaluation and selection based on sustainability were identified and ranked using the fuzzy best-worst method (BWM).
Findings
The criterion of “defining clear and real objectives” was ranked first, “project investment return period” was ranked second, “minimum changes in the predicted range” was ranked third, and the other ten sustainability indicators were ranked as well. Next, the presented mathematical programming model was solved using the augmented e-constraint method. The sensitivity analysis indicated that increasing the amount of investments in projects would increase their net present value. Also, increased investment had no effect on sustainability, while decreased investment caused sustainability to not being optimal.
Originality/value
This study focuses on the impact of the amount of investments on projects, and the associated costs of sustainable projects. Further to the authors' knowledge, there has been no relevant study taking uncertainty into account. Also, very few studies proposed a mathematical programming model for the project portfolio selection problem. Moreover, this research uses the brainstorming and Delphi method to identify the sustainability indicators influencing the organization and screens the evaluation indicators. Furthermore, the weights of the evaluation indicators are determined using the fuzzy BWM based on the consistency of opinions.
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This paper aims to examine whether financially distressed firms manipulate core or operating income through the misclassification of operating expenses as income-decreasing…
Abstract
Purpose
This paper aims to examine whether financially distressed firms manipulate core or operating income through the misclassification of operating expenses as income-decreasing special items.
Design/methodology/approach
This sample comprises firms in the USA with data from 1989 to 2010. The authors used the methodology given in McVay (2006) and multiple regressions.
Findings
Managers of financially distressed firms are more likely to inflate core or operating income as compared to the healthy firms to meet or beat earnings benchmarks. They do so by misclassifying core or operating expenses as income-decreasing special items. Specifically, core expenses are shifted to income-decreasing special items like goodwill impairments, settlement costs, restructuring costs and write downs.
Practical implications
The paper sheds light on an important firm characteristic, financial distress that intensifies classification shifting – an earnings management tool which auditors, investors and regulators find tough to detect. The findings have implications for investors, as they fail to comprehend such shifting (McVay, 2006); analysts, who issue forecasts based on street earnings; lenders, as distressed firms may be concealing their true performance; and regulators, as the misclassification of income statement items is a violation of accounting principles.
Originality/value
The authors extend the literature on accruals and real earnings management by the financially troubled firms and present first evidence that the managers of such firms also manipulate core or operating income through classification shifting.
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This paper aims to examine whether firms in the decline stage of lifecycle manipulate core or operating income through misclassification of operating expenses as income-decreasing…
Abstract
Purpose
This paper aims to examine whether firms in the decline stage of lifecycle manipulate core or operating income through misclassification of operating expenses as income-decreasing special items.
Design/methodology/approach
The sample comprises of firms from an emerging market, India with data from 1996 to 2011. The paper uses the methodology given in McVay’s (2006) work and multiple regressions.
Findings
Managers of Indian firms also engage in classification shifting, primary incentive being the desire to avoid reporting of operating losses. Furthermore, the use of classification shifting is dependent upon the stage of lifecycle in which firm is in. Specifically, firms in the decline stage of lifecycle are more likely to use classification shifting to avoid reporting of operating losses.
Practical implications
The paper sheds light on a critical phase of the firm lifecycle, decline, which increases the possibility of the use of classification shifting, an earnings management technique which is tough to detect. Firms in decline, thus, may be trying to fool the investors who are infusing capital to save the company from going bankrupt; regulators, who are likely to focus less on troubled firms; and auditors, who may not be expecting core income manipulation in such firms.
Originality/value
The paper extends the literature on classification shifting and presents first evidence that such shifting is more likely to take place during the decline phase of firm lifecycle.