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Thaddeus Sim and Ronald H. Wright
Historical stock prices have long been used to evaluate a stock’s future returns as well as the risks associated with those returns. Similarly, historical dividends have been used…
Abstract
Historical stock prices have long been used to evaluate a stock’s future returns as well as the risks associated with those returns. Similarly, historical dividends have been used to evaluate the intrinsic value of a stock using, among other methods, a dividend discount model. In this chapter, we propose an alternate use of the dividend discount model to enable an investor to assess the risks associated with a particular stock based on its dividend history. In traditional applications of the dividend discount model for stock valuation, the value of a stock is the net present value of its future cash dividends. We propose an alternative approach in which we calculate the internal rate of return for a stream of future cash dividends assuming the current stock price. We use a bootstrapping approach to generate a stream of future cash dividends, and use a Monte Carlo simulation approach to run multiple trials of the model. The probability distribution of the internal rates of return obtained from the simulation model provides an investor with an expected percentage return and the standard deviation of the return for the stock. This allows an investor to not only compare the expected internal rates of return for a group of stocks but to also evaluate the associated risks. We illustrate this internal rate of return approach using stocks that make up the Dow Jones Industrial Average.
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Yanping Liu, Bo Yan and Xiaoxu Chen
This paper studies the optimal decision-making and coordination problem of a dual-channel fresh agricultural product (FAP) supply chain. The purpose is to analyze the impact of…
Abstract
Purpose
This paper studies the optimal decision-making and coordination problem of a dual-channel fresh agricultural product (FAP) supply chain. The purpose is to analyze the impact of information sharing on optimal decisions and propose a coordination mechanism to encourage supply chain members to share information.
Design/methodology/approach
The two-echelon dual-channel FAP supply chain includes a manufacturer and a retailer. By using the Stackelberg game theory and the backward induction method, the optimal decisions are obtained under information symmetry and asymmetry and the coordination contract is designed.
Findings
The results show that supply chain members should comprehensively evaluate the specific situation of product attributes, coefficient of freshness-keeping cost and network operating costs to make decisions. Asymmetric information can exacerbate the deviation of optimal decisions among supply chain members and information sharing is always beneficial to manufacturers but not to retailers. The improved revenue-sharing and cost-sharing contract is an effective coordination mechanism.
Practical implications
The conclusions can provide theoretical guidance for supply chain managers to deal with information asymmetry and improve the competitiveness of the supply chain.
Originality/value
This paper combines the three characteristics that are most closely related to the reality of supply chains, including horizontal and vertical competition of different channels, the perishable characteristics of FAPs and the uncertainty generated by asymmetric demand information.
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Mustafa Altınel and Uğur Yalçın
This paper aims to examine the uniform diffracted fields from a perfectly magnetic conductive (PMC) surface with the extended theory of boundary diffraction wave (BDW) approach.
Abstract
Purpose
This paper aims to examine the uniform diffracted fields from a perfectly magnetic conductive (PMC) surface with the extended theory of boundary diffraction wave (BDW) approach.
Design/methodology/approach
Miyamoto and Wolf’s symbolic expression of the vector potential was used in the extended theory of BDW integral. This vector potential is applied to the problem, and the nonuniform field expression found was made uniform. Here, the expression is made uniform, using the detour parameter with the help of the asymptotic correlation of the Fresnel function. The BDW theory for the PMC surface extended the diffracted fields, and the uniform diffracted fields were calculated.
Findings
The field expressions obtained were interpreted with the graphs numerically for different aperture radii and observation distances. It has been shown that the BDW is continuous behind the diffracting aperture. There does not exist any discontinuity at the geometrically light-to-shadow transition boundary, as is required by the theory.
Originality/value
The results were graphically compared with diffracted fields for other surfaces. As far as we know, the uniform diffracted fields from the circular aperture on a PMC surface were calculated for the first time with the extended theory of the BDW approach.
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Yousra Trichilli, Hana Kharrat and Mouna Boujelbène Abbes
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax…
Abstract
Purpose
This paper assesses the co-movement between Pax gold and six fiat currencies. It also investigates the optimal time-varying hedge ratios in order to examine the properties of Pax gold as a diversifier and hedge asset.
Design/methodology/approach
This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework to estimate the time-varying optimal hedge ratios, the optimal weighs and the hedging effectiveness.
Findings
Wavelet coherence method reveals that, at low frequency, large zone of co-movements appears for the pairs Pax gold/EUR, Pax gold/JPY and Pax gold/RUB. Further, the BEKK results show unidirectional (bidirectional) transmission effects between Pax gold and EUR, GBP, JPY and CNY (INR, RUB) fiat currencies. Moreover, the Range DCC results show that the Pax gold and the fiat currency returns are weakly correlated with low coefficients close to zero. Thus, Pax gold seems to serve as a safe haven asset against the systematic risk of fiat currency markets. In addition, the results of optimal weights show that rational investor should invest more in Pax gold and less in fiat currencies. Concerning the hedge ratios results, the findings reveal that the INR (JPY) fiat currency appears to be the most expensive (cheapest) hedge for the Pax-gold market. However, the JPY’s fiat currency appears to be the cheapest one. As for hedging effectiveness results, the authors found that hedging strategies including fiat currencies–Pax gold pairs are most likely to sharply decrease the portfolio’s risk.
Practical implications
A comprehensive understanding of the relationship between Pax Gold and fiat currencies is crucial for refining portfolio strategies involving cryptocurrencies. This research underscores the significance of grasping volatility transmissions between these currencies, providing valuable insights to guide investors in their decision-making processes. Moreover, it encourages further exploration into the interdependencies of digital currencies. Additionally, this study sheds light on effective contagion risk management, particularly during crises such as Covid-19 and the Russia–Ukraine conflict. It underscores the role of Pax Gold as a safe-haven asset and offers practical guidance for adjusting portfolios across various economic conditions. Ultimately, this research advances our comprehension of Pax Gold’s risk-return profile, positioning it as a potential hedge during periods of uncertainty, thereby contributing to the evolving literature on cryptocurrencies.
Originality/value
This study’s primary value lies in its pioneering empirical examination of the time-varying correlations and scale dependence between Pax Gold and fiat currencies. It goes beyond by determining optimal time-varying hedge ratios through the innovative Range-DCC-GARCH model, originally introduced by Molnár (2016) and distinguished by its incorporation of both low and high prices. Significantly, this analysis unfolds within the unique context of the Covid-19 pandemic and the Russian–Ukrainian conflict, marking a novel contribution to the field.
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Shukuan Zhao, Xueyuan Fan, Dong Shao and Shuang Wang
This study aims to investigate the impact of supply chain concentration (SCC) on corporate research and development (R&D) investment and determine the moderating roles of industry…
Abstract
Purpose
This study aims to investigate the impact of supply chain concentration (SCC) on corporate research and development (R&D) investment and determine the moderating roles of industry concentration and financing constraints on the relationship between SCC and R&D investment.
Design/methodology/approach
The study collected data from Chinese listed companies, used the fixed effects model to test the research hypotheses and further used the two-stage Heckman test and propensity score matching (PSM) to address potential endogeneity issues.
Findings
The result reveals a negative impact of SCC on corporate R&D investment. In addition, industry concentration mitigates the negative impact of SCC on corporate R&D investment, but financing constraints strengthen the negative impact.
Originality/value
This study introduces the concept of SCC and empirically tests its effect on R&D investment, further explaining the lack of corporate innovation. This study inspires companies to strengthen SC management and weigh the level of SCC with environmental factors.
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Atifa Kanwal, Ambreen A. Khan, Sadiq M. Sait and R. Ellahi
The particle distribution in a fluid is mostly not homogeneous. The inhomogeneous dispersion of solid particles affects the velocity profile as well as the heat transfer of fluid…
Abstract
Purpose
The particle distribution in a fluid is mostly not homogeneous. The inhomogeneous dispersion of solid particles affects the velocity profile as well as the heat transfer of fluid. This study aims to highlight the effects of varying density of particles in a fluid. The fluid flows through a wavy curved passage under an applied magnetic field. Heat transfer is discussed with variable thermal conductivity.
Design/methodology/approach
The mathematical model of the problem consists of coupled differential equations, simplified using stream functions. The results of the time flow rate for fluid and solid granules have been derived numerically.
Findings
The fluid and dust particle velocity profiles are being presented graphically to analyze the effects of density of solid particles, magnetohydrodynamics, curvature and slip parameters. Heat transfer analysis is also performed for magnetic parameter, density of dust particles, variable thermal conductivity, slip parameter and curvature. As the number of particles in the fluid increases, heat conduction becomes slow through the fluid. Increase in temperature distribution is noticed as variable thermal conductivity parameter grows. The discussion of variable thermal conductivity is of great concern as many biological treatments and optimization of thermal energy storage system’s performance require precise measurement of a heat transfer fluid’s thermal conductivity.
Originality/value
This study of heat transfer with inhomogeneous distribution of the particles in a fluid has not yet been reported.
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This paper aims to consider the effects of a merger on technology adoption and welfare in the presence of passive cross ownership. Merger increases investments in process…
Abstract
Purpose
This paper aims to consider the effects of a merger on technology adoption and welfare in the presence of passive cross ownership. Merger increases investments in process technology and may increase welfare. The results are important for antitrust policies and suggest that the antitrust authorities may not need to be too concerned about mergers in industries with cross ownership.
Design/methodology/approach
Game-theoretic analysis.
Findings
Merger increases investments in process technology and may increase welfare.
Originality/value
To the best of the author’s knowledge, this study is original.
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