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This paper aims to examine the relationship between the conditional variance of the factors from the Fama–French three‐factor model and macroeconomic risk, where macroeconomic risk is proxied by the conditional variance for a default risk premium and real gross domestic product (GDP) growth.

A generalised autoregressive conditional heteroscedastic model is used to generate the conditional volatilities and bivariate Granger causality tests are used to examine the empirical relationship between the risk measures.

Past values of the conditional variance for a default risk premium have information that is precedent to the conditional volatility for value premium and the small stock risk premium, and the conditional variance for the market risk premium has information about the future volatility of macroeconomic risk, as proxied by the conditional variance for GDP growth.

The implications are that conditional volatility associated with default is related to current and future volatility in value premium; however, volatility associated with the market risk premium appears to be a predictor of future macroeconomic risk. A caveat is that the results are dependent on the proxies used for macroeconomic risk and more refined measures of macroeconomic risk may yield different results.

This paper suggests that examination of the relationship between the volatility of macroeconomic factors and the explanatory factors in asset‐pricing models will help to further understanding of the relationship between risk and expected return.

This paper focuses directly on the links between risk associated with the Fama–French factors and macroeconomic risk. This added knowledge is beneficial to practitioners and academics whose interest lies in asset price modelling.

The aim of this paper is twofold. First, it aims to provide better understanding for the main sources behind the value premium in the UK. Second, given that the value factor (HML) in the Fama‐French three‐factor model is itself a proxy for value premium, this paper seeks to illustrate the component of HML responsible for explaining UK portfolio returns.

For the period July 1991 to June 2006, value premium is broken into two components: one is related to small stocks and the other to big stocks. Then monthly time‐series regressions are used to test which component of value premium provides better explanatory power for UK portfolio returns.

The empirical results indicate that the value premium in average returns is due to small market capitalization stocks. Moreover, value stocks do not seem riskier than growth stocks according to their market beta. Furthermore, the significance of the value factor (HML) in explaining UK portfolio returns is mainly due to its small stock component (HMLS). The paper suggests a revision for the Fama‐French three‐factor model that replaces HML by HMLS.

Academics are interested in understanding the main sources of value premium and the reasons behind the significance of the value factor in explaining UK portfolio returns. Investors and fund managers who wish to exploit the value premium will tilt their portfolios towards value stocks that have low‐market capitalization. Both academics and practitioners may consider altering the Fama‐French model, as suggested by the paper, when estimating the cost of capital.

This study examines the empirical relationship between four broad antecedents of brand equity (branding strategy, brand structure, brand positioning and target market) and two separate dimensions of revenue premium: price premium and volume premium. Our modeling framework aims to explain how different antecedents of brand equity influence the realized velocity and margin of branded product sales, key drivers of operating cash flow. Our generalizable empirical analyses are based on a representative dataset of over 6,500 brands, across 200 consumer-packaged goods categories, spanning three years. We find that only 20% of brands command revenue premiums, for which volume premiums are the critical determinant. Branding strategies and brand structure primarily impact volume premium. In contrast, brand positioning has little effect. Target market substantially affects both premiums. Overall, these four elements account for 73% and 69% of the explained variations in price and volume premiums, respectively. This study provides generalizable, important, and novel insights for the theory and practice of brand management regarding price positioning and extending brands into new categories.

While there has been intense debate in the empirical literature over the evolution of the college wage premium in the United States, its evolution in Europe has received little attention. This paper investigates the causes of the evolution of the college wage premium in 12 European countries from 1994 to 2009, assessing the relevance of the supply factor as a determinant of the college wage premium. I use cross-country variation in relative supply, demand, and labour market institutions to examine their effects on the trend in wage inequality. I address possible concerns of endogeneity of the relative supply using an IV strategy exploiting the differential legislations of university autonomy and their variations over time. Results show that the strong increase in the relative supply that European countries have experienced has decreased the college wage premium. The most relevant institution is the minimun wage, which significantly decreases college wage premium.

Few issues in business ethics are as polarizing as the practice of risk classification and underwriting in the insurance industry. Theorists who approach the issue from a background in economics often start from the assumption that policy-holders should be charged a rate that reflects the expected loss that they bring to the insurance scheme. Yet theorists who approach the question from a background in philosophy or civil rights law often begin with a presumption against so-called “actuarially fair” premiums and in favor of “community rating,” in which everyone is charged the same price. This paper begins by examining and rejecting the three primary arguments that have been given to show that actuarially fair premiums are unjust. It then considers the two primary arguments that have been offered by those who wish to defend the practice of risk classification. These arguments overshoot their target, by requiring a “freedom to underwrite” that is much greater than the level of freedom enjoyed in most other commercial transactions. The paper concludes by presenting a defense of a more limited right to underwrite, one that grants the legitimacy of the central principle of risk classification, but permits specific deviations from that ideal when other important social goods are at stake.

The currency premium is one of the three components of the differential between local and foreign interest rates. Emerging economies such as South Africa typically face positive interest rate differentials, that is, a higher cost of capital than developed economies. In this chapter we aim at identifying the determinants of the South African rand–U.S. dollar currency premium using monthly data over the period 1997–2008. We carry out an empirical analysis using dynamic time series econometric techniques to estimate the determinants of the one-month and one-year currency premia. Our findings show that the currency premia at both horizons are driven by long-run movements in the expected inflation differential between South Africa and the United States, risk aversion as a proxy for the price of rand exchange risk, and the volatility of the rand exchange rate as an indicator of the quantity of that risk. Misalignments in the real effective or rand–U.S. dollar bilateral exchange rates display mixed results in terms of their impact and statistical significance on both currency premium. Our parameter estimators overall are stable and robust to sample variations. Monetary policy is an important determinant of currency premia at both one-month and one-year horizons, but risk aversion is equally important to determine its time fluctuations.

As the cost of completing a transaction, the green merger and acquisition (M&A) premium paid on mergers can influence whether the acquisition creates value or not. However, studies linking M&A premiums to firm value have had mixed results, even fewer studies have examined the effect of green M&A premiums on bidders’ firm value. The purpose of this paper is to investigate whether and how green M&A premiums affect firm value in the context of China’s heavy polluters.

Using 323 deals between 2008 and 2019 among China’s heavy polluters, this paper estimates with correlation analysis and multiple regression analysis.

Green M&A premiums are negatively associated with firm value. The results are more significant when firms adopt symbolic rather than substantive corporate social responsibility (CSR) strategies. Robustness and endogeneity tests corroborate the findings. The negative relation is stronger when acquiring firms have low governmental subsidy and environmental regulation, when firms have overconfident management, when firms are state-owned and when green M&A occurs locally or among provinces in the same region. This study also analyzes agency cost as an intermediary in the relationship between green M&A premium and firm value, which lends support to the agency-view hypothesis.

This study provides systemic evidence that green M&A premiums damage firm value through agency cost channel and the choice of CSR strategies from the perspective of acquirers. These findings enrich the literature on both the economic consequences of green M&A premiums and the determinants of firm value and provide a plausible explanation for mixed findings on the relationship between green M&A premiums and firm value.

This paper aims to investigate the key characteristics of parent brands and the relationships among customer perceived value (a second-order construct containing financial, functional, individual and social attributes), parent brand loyalty and the willingness to pay for a premium extended brand. Moreover, the moderating effect of self–brand integration on the influences in the model is examined.

Data were collected in two countries, the USA (n = 535) and China (n = 511), through an online survey. Structural equation modeling and a multi-group analysis were used to analyze the data.

The results show that perceived quality and premium brand authenticity are two important predictors of perceived value. The relationships among perceived value, parent brand loyalty and willingness to pay for an extended premium brand were significantly supported. In addition, self–brand integration was found to moderate the relationship between perceived value and loyalty to the parent brand.

Wine marketers and managers can use recommendations to establish effective brand extension strategies to help the industry know what essential characteristics of a parent brand to focus on and maintain sustainable development through the customer–extended brand relationship.

Previous researchers have discussed wine consumption behaviors or branding strategies. By limiting combining two theories (flow theory and the theory of planned behavior), this paper proposes a chain of behaviors to optimize customer experience to develop a brand extension strategy based on key characteristics of the parent brand.

The purpose of this study was to empirically investigate the role of e-service quality factors in predicting e-satisfaction. The study context was spirituality and well-being over-the-top services. The e-service quality factors consisted of perceived functional completeness, perceived performance, perceived quality of interface and interaction, perceived quality of content and information and perceived quality of customer support. The study goal was to ascertain over-the-top services customers’ behavioral intention toward upgrading to premium subscription and the spread of electronic word of mouth.

This study was based upon the integrated stimulus-organism-response framework where e-service quality represented the stimulus, e-satisfaction the organism, behavioral intention and electronic word of mouth as the response. The study used a moderated-mediation approach with e-satisfaction as the mediator and the price value of a premium subscription as the moderator. To empirically test the model, the authors collected data from 312 spirituality and well-being over-the-top services users in India. Partial least squares-structured equation modeling was used to analyze the collected data.

The findings of the study supported the association between e-service quality factors and e-satisfaction while using spirituality and well-being over-the-top service. The results furthermore indicated that satisfied spirituality and well-being over-the-top customers were willing to upgrade to the premium subscription and spread favorable electronic word of mouth. The moderated-mediation study results revealed that the price value of premium subscriptions moderated the relationship between e-service quality and e-satisfaction but did not moderate the relationship between e-satisfaction and behavioral intention, and e-satisfaction and electronic word of mouth.

This study offered a comprehensive stimulus-organism-response theoretical model by using the five e-service quality measurement factors as “stimuli” for motivating the internal state of spirituality and well-being over-the-top subscribers. This was toward sustained usage in over-the-top services subsequent to the end of the freemium period. Furthermore, in this study, both e-service quality theory and user satisfaction theory were integrated into the stimulus-organism-response model. This helped to better comprehend the impact of e-service quality factors in driving e-satisfaction among spirituality and well-being over-the-top service users.

This study revealed the significance of differentiating premium over-the-top subscriptions based on price value. To ensure a high level of e-satisfaction from a premium subscription, a greater emphasis on the e-service quality dimensions was required. This study provided insights to managers regarding the role of favorable electronic word of mouth in fostering effective customer acquisition.

This was one of the first studies which concurrently integrated perceived value of the premium subscription and e-satisfaction with customers’ behavioral intention and electronic word of mouth through the theoretical lens of stimulus-organism-response.

This study aims to increase the understanding of the emergence of a values-based (VB) premium private label (PL) brand reputation within a multiple-tier PL brand portfolio in retailing.

By building on the research on PLs, brand image, brand reputation and consumer values, this study creates a conceptual foundation for the emergence of VB PL brand reputation within a multiple-tier brand portfolio among consumers and examines the emergence of such reputation empirically using interpretive exploratory qualitative laddering interviews in the context of fast-moving consumer goods.

The findings of this study illustrate that the VB reputations of the premium PL product brand and the PL brand store intertwine, ultimately relating to two terminal values: pleasure and doing good. These reputations differ remarkably from the VB reputations of the economy PL brand and the umbrella brand of the retail chain (not doing good and financial security).

This study explains the emergence of VB brand reputation within a multiple-tier brand portfolio and introduces the use of the laddering technique in such research.

This study reminds brand managers to carefully design the relevant brand strategy for brands and their relationships under a brand umbrella.

Although much is known about PL brands and brand reputation, to the best of the authors’ knowledge, this study might be the first to increase the understanding of how a VB premium PL brand reputation emerges and accumulates from brand images within a multiple-tier brand portfolio.