Distribution of Spot and Forward Exchange Rates: Empirical Evidence and Investor Valuation of Skewness and Kurtosis*

This paper examines the statistical distribution of exchange rates for eight major currencies for the post-1973 floating rate period. The results show that spot rates, forward rates, and ex-post risk premia all exhibit significant, persistent, but varying deviations from normality, and that the risk premia in forward rates reflect investor preferences for skewness and investor aversion towards standard deviation and kurtosis. These results imply that foreign currency forecasting and hedging practices, mean-variance portfolio analysis, pricing of foreign currency options, and other research involving exchange rates should account for these significant deviations from normality.     

Simultaneous Determination of Joint Product Cost Allocations and Cost-Plus Prices*

Use of the net realizable value approach for joint manufacturing cost allocations requires knowledge of selling prices of joint products. However, joint product selling prices themselves are functions of the allocated costs under a cost-plus pricing policy. In this case, it is necessary to determine joint cost allocations and joint product prices simultaneously. This paper applies a nonlinear programming (NLP) approach to simultaneously determine the optimal joint production decision, joint product cost-plus prices, and joint cost allocations using the net realizable value method. The NLP solution provides not only the optimal joint production and pricing decisions, but also the necessary conditions for such optimal decisions.     

Incorporating Price and Replacement Purchases in New Product Diffusion Models for Consumer Durables*

The article presents theoretical and empirical research findings which incorporate price and replacement purchases in new product diffusion models. On the theoretical side, this paper characterizes, qualitatively, optimum pricing policies for new products. Possible entry of rivals is not considered, but repeat sales, cost learning dynamics and discounting of future profit streams are allowed. Theoretical research findings suggest that the inclusion of repeat purchases in the diffusion model significantly changes the derived optimal pricing policy even if replacements were not price dependent. On the empirical side, alternative first purchase and repeat purchase models have been estimated and compared using nonlinear procedures. The diffusion data analyzed is related to nine consumer durables. Empirical research findings suggest that, for the considered product categories, diffusion is basically an imitative process, price can affect first and replacement purchases, and unit production cost is a decreasing function of cumulative first purchases. Managerial implications of the research findings are also discussed.     

A Dynamic Model of Product Quality and Pricing Decisions on Sales Response

This paper presents a dynamic model that examines the influence of price and customer perception of product quality on the sales rate of a firm producing durable goods. The sales rate of the firm is modeled as a function of its price, average product life, perceived quality, and market potential. Specifically, the model considers: (1) the process by which perceived quality is determined by including the effects of the average life of a product and quality weighted units in the market; (2) the time delay in the influence of actual quality on perceived quality; (3) the process by which demand (i.e., potential sales) is converted to realized sales due to the effects of price and perceived quality; and (4) the saturation effect and associated non-linearity in the demand function. The model presented is a reformulation and extension of the model originally proposed by Bass [2]. The validity of the model is tested using historical data on For Mustang.     

合理的人力资本投资风险定价对我国西部地区开发人力资本的影响

面对西部地区劳动素质低下的现状 ,本文通过投资 -收益比较分析 ,提出了确立合理的人力资本投资风险定价是开发和形成西部地区人力资本的重要因素 ,也是促进人们对人力资本投资的重要依据。     

A Test of the Cross-Sectional Robustness of the Arbitrage Pricing Model Using Foreign Exchange Rates*

This paper tests the cross-sectional robustness of the arbitrage pricing theory (APT) model using foreign exchange rate data to determine if the model is robust with respect to the various random samples and various factor analytic techniques. Factor scores are developed using various samples and factor analytic techniques to explain the returns for other samples and groupings. The APT model is found to be robust across samples and techniques.     

Optimal Cash Tender Offers*

This paper develops a contingent claims analysis, a simple decision model for determining the optimal price in a cash tender offer. The implied behavior of the optimal tender offer premium over the market price of the target common stock is also investigated. Those readers interested in applying the model may obtain an interactive computer program written in FORTRAN and implementable on a personal computer from the authors on request.     

股票期权制的两面性对我国股权激励的启示

在推进股权激励制度改革的今天,人们在看到股票期权制的诸多积极作用的同时,不能忽视其消极影响,只有不断解决其存在的问题,才能对经营者产生有效激励,提高企业的竞争力,使这一制度在我国得到长远发展.     

Free or bundled: Channel selection decisions under different power structures

The smart phone industry has unique supply chain relationships. Companies at all levels of the supply chain compete and coordinate with each other for market share and profit. This paper examines the impact of power structures on the decision of pricing and channel selection between a free channel and a bundled channel. We investigate the smart phone supply chain that consists of a handset manufacturer and a telecom service operator. Based on game theory models, the manufacturer׳s optimal retail pricing policies in free and bundled channels and the telecom service operator׳s optimal subsidy policies in a bundled channel are derived under different power structures. It is demonstrated that the firm that has higher channel power will gain more profit, and the smart phone supply chain׳s profit in a Vertical Nash (VN) power structure is higher than that in Telecom Service Operator-Stackelberg (TS) and Manufacturer-Stackelberg (MS) power structures. It is also shown that the smart phone supply chain will choose a bundled channel in TS and MS power structures under certain conditions and will select a free channel in a VN power structure.     

Coordinating a supply chain for deteriorating items with a revenue sharing and cooperative investment contract

In this study, a one-manufacturer–one-retailer supply chain model for deteriorating items with controllable deterioration rate and price-dependent demand is developed, in which both players cooperatively invest in preservation technology to reduce deterioration. Algorithms are designed to obtain the pricing and preservation technology investment strategies in both integrated and decentralized scenarios. It is shown that cooperative investment strategy benefits the manufacturer but damages the profits of the retailer and the whole supply chain. A revenue sharing and cooperative investment contract, which combines revenue sharing and cost sharing mechanisms, is thus designed to coordinate the supply chain. Numerical simulations and sensitivity analysis of the equilibrium strategies and coordinating results on key system parameters are given to verify the effectiveness of the contract, and meanwhile get some managerial insights. The results show that only when the revenue sharing rate lies roughly between 1/2 and 3/4 can the contract perfectly coordinate the supply chain in most cases, which has an important guiding significance for the supply chain coordination of deteriorating items when considering preservation technology investment.