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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 purpose of this paper is to investigate the connection between the accrual quality and the growth/value characteristics (and their return premia) at firm level.

The paper employs a battery of univariate and multivariate cross‐sectional tests. Fama‐MacBeth regressions with main effects and interaction effects are used to identify the relation between accrual quality, book‐to‐market and returns. The analysis is conducted on the overall sample, as well as after conditioning on up and down markets.

Value (growth) stocks are more likely to be associated with high (low) accrual quality. Value stocks earn higher returns mainly in down markets, while poor accrual quality firms have significantly higher returns during up markets, but significantly lower returns during down markets. There is a significant interaction effect between accrual quality and the value premium, which only exhibits in the down markets (i.e. stocks with poor accrual quality earn a higher value premium in down markets than stocks with good accrual quality).

Results in this paper help disentangle between various explanations proposed for the accrual quality premium and the value premium. These findings are consistent with the idea that the same underlying risk factor generating the value premium also generates the cross‐sectional variation in accrual quality responsible for the accrual quality premium. From the corporate managers' perspective, the results imply that value firms can mitigate their higher costs of capital by providing high quality of accounting information. From an analyst's perspective, the study suggests that considering both accrual quality and growth characteristics can help make better portfolio allocation decisions than when these are considered separately.

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 main aim of this paper is to examine the role of brand reputation on the impact of value product on perceptions of a premium product from the same brand. As a secondary goal, it tests and extends existing findings from judgment tasks to a choice task.

Two online experiments are presented. In Study 1 (1a and 1b), participants provided quality and price judgments to products. Brand reputation was manipulated by comparing common store brands to non-store brands (Study 1a) and to upscale store brands (Study 1b). In Study 2, we examined whether findings indicating a positive effect of a value store brand on a premium store brand extends to a choice context. Participants made choices between a premium store brand and a national brand in the presence of either a value store brand or a value national brand.

It was found that brand reputation plays an important role in the interplay of products in line extensions. While the positive impact of a value brand on a premium brand is at its strongest level for a regular store brand, it still has a moderate size for a non-store brand without a defined reputation, as well as for an upscale store brand. Second, using a choice task, we reject an important rival explanation for the impact of a value store brand on a premium store brand observed in previous research.

The authors have focused on consumers’ expectations of products. While research has shown that these expectations play an important role in evaluations, future research may directly examine perceptions after consumption. The findings also offer an opportunity for future research to examine the differences in perceptions between store and non-store brands at different positioning levels, as well as other factors that affect brand reputation.

The findings have two practical implications. First, our results indicate that when a manufacturer produces two products in the same category at different levels of quality, there is some benefit in letting consumers know about this relationship. The authors consistently found no negative impact on the brands and often a positive impact on the premium brand. While effects are stronger for common store brands, they are likely to emerge for any type of brand, albeit weaker.

This paper contributes to the nascent literature on multi-tier brands and vertical extensions in several ways. First, the role of brand reputation was examined and how it interacts with positioning in line extension context. Second, we show that the effect of a value brand on a premium brand is stronger for store brands, but still existent for non-store brands. These results offer implications for practice and open opportunities for future research on multi-tier store brands.

Green office buildings have recently taken on increased significance in institutional property portfolios in Australia and globally. The key issue from an institutional investor perspective is the assessment of whether green office buildings add value. Using an extensive portfolio of green office buildings, the purpose of this paper is to empirically assess the level of energy rating premiums in the property performance of green office buildings in Australia.

Using a portfolio of over 200 green office buildings in Australia benchmarked against a comparable portfolio of non-green office buildings, the level of energy rating premiums in the property performance of green office buildings in Australia is empirically evaluated. Hedonic regression analysis is used to account for differences between specific office buildings and to explicitly identify the “pure” green effect in identifying the level of energy rating premiums in several commercial property performance characteristics (e.g. office value, rent).

The empirical results show the added-value premium of the 5-star National Australian Built Environment Rating Scheme (NABERS) energy rating scheme and the Green Star scheme in the property performance of green office buildings in Australia, including office values and rents. Energy rating premiums for green office buildings are evident at the top energy ratings and energy rating discounts at the lower energy ratings. The added-value “top-end” premium of the 5-star vs 4-star NABERS energy rating category is clearly identified for the various property performance parameters, including office values and rents.

This paper empirically determines the presence of energy rating premiums at the top energy ratings in the performance of green office buildings, as well as energy rating discounts at the lower energy ratings. This clearly highlights the added value dimension of energy efficiency in green office buildings and the need for the major office property investors to prioritise the highest energy rating to facilitate additional property performance premiums. This will also see green office buildings become the norm as the market benchmark rather than non-green office buildings.

This paper highlights energy performance premiums for green office buildings. This fits into the context of sustainability in the property industry and the broader aspects of corporate social responsibility in the property industry.

This paper is the first published property research analysis on the detailed determination of energy rating premiums across the energy rating spectrum for green office buildings in Australia. Given the increased focus on energy efficiency and green office buildings, this research enables empirically validated and practical property investment decisions by office property investors regarding the importance of energy efficiency and green office buildings, and the priority to achieve the highest energy rating to maximise property performance premiums in office values and rents.

Although trading stamps were popular in the USA and are still popular in some countries, few studies have investigated why customers are willing to participate in the promotional campaign despite the inconvenience of accumulating and storing stamps. The purpose of this paper is to examine the factors influencing customer participation in trading stamp campaigns.

Through an extensive literature review, a research model was proposed and its validity evaluated through structural equation modeling. An empirical investigation using a questionnaire survey was conducted among Taiwanese consumers.

The functional value of premiums and the enjoyment value of a campaign will directly entice a customer to participate, whereas a customer’s purchase intention will be enhanced due to the functional and emotional values of the premiums, social influence of the campaign and motivation to help others obtain premiums through gift-giving. However, the perceived effort to accumulate stamps will inhibit a customer from participating.

The possibility of sampling bias may limit the applicability of the findings.

Effective trading stamp campaigns can be implemented by the careful design of premiums to emphasize their functional and emotional values and by emphasizing enjoyment and social values of the campaign.

This study aims to pioneer the application of the consumption value model in discussing trading stamp campaigns to fill the gap in marketing research. Another goal is to help retailers design successful campaigns.

This paper aims to provide a comprehensive analysis of whether stock returns in Europe are best characterized by country-specific or Europe-wide versions of widely used factor models.

To estimate the cost of equity in Europe, both region-wide and nationally, the Fama and French (2012) three-factor and Carhart (1997) four-factor models are used.

The results show that although the value and momentum premiums are present on a Europe-wide basis, the size premium is country-specific.

The paper offers an explanation to the puzzle of why Fama and French (2012) detect value and momentum premiums but no size premium in Europe. Furthermore, the results shed new light on these premiums and present a challenge to existing applications of widely used factor models.

Using data from the stock markets of Japan, the UK and the US, this paper examines the time series properties of a price index derived from a zero net investment strategy of buying value stocks and short selling growth stocks. We use the results of this analysis to consider implications for the validity of competing hypotheses on the source of the value premium. Overall, the results from this study indicate that the US value premium displays different characteristics to the value premiums for the UK and Japan. This has farreaching implications for financial modelling and for the success, or otherwise, of investment strategies based on the existence of a value premium.

The purpose of this paper is to investigate the seasonal effect in the value premium puzzle. It studies whether the book‐to‐market effect is an outcome of the January effect observed among stock returns.

The paper uses returns of portfolios based on size and BE/ME ratios as Fama and French suggest to define value premium and investigate the seasonality of the BE/ME effect. The paper tests whether the value premiums observed among large and small stocks are different in January and non‐January months. It examines the turn‐of‐the‐year effect on the value premium by analyzing the returns of BE/ME portfolios during the first and last ten trading days of a calendar year.

Empirical evidence supports the fact that value premium has different patterns in January and non‐January months for large and small capitalization firms. It was found that large stocks have a significant value premium only in January and this high January value premium among large stocks is mainly driven by loser stocks at the turn of the year. In contrast with large stocks, the value premium of small stocks occurs only in non‐January months.

This paper shows that value premium of large and small stocks are different in January and non‐January months. Furthermore, the past performance of stocks plays a key role in the observed January value premium among large stocks. Finally, this study provides evidence to show that the value premium among large stocks may be explained by investor trading behavior.

The purpose of this study is to seek to investigate whether and how country of origin (COO) cues – category-country image (CCI) and typicality – and importers’ domain-specific innovativeness (DSI) influence importers’ propensity to the trial new value and premium products. Moreover, it aims to understand whether and how the relationship between the COO effect and industrial purchase intentions is moderated by importers’ propensity to innovate (DSI).

International importers completed a quantitative online survey. Factor analysis was used to summarize the latent constructs into orthogonal scores. General linear modeling was applied to the scores to test the hypotheses.

The results indicate that importers’ propensity to trial value products is directly influenced by CCI and importers’ DSI. For premium products, typicality has a positive effect on their propensity to trial. Also, CCI and DSI have positive effects on the trial of value products, and the effect is more pronounced than for premium products. Importers’ DSI positively moderates CCI in premium product trials, while it negatively moderates typicality in value products.

This research provides important managerial implications for practitioners seeking to increase foreign sales, strengthening importers’ product perceived value through COO cues. Exporters should distinguish between value and premium products and, in the selection of international channel partners, they must be attentive to importers’ personal characteristics, such as their propensity to innovate. Exporters selling value products should communicate CCI more clearly and, when targeting innovative importers, opt for atypical products instead of traditional ones. For premium products, which require more complex decisions, exporters should especially underscore product typicality and, with innovative importers, emphasize positive CCI.

By focusing on the two critical issues of product selection and price levels, this study’s original contribution is to emphasize that, for the same product category, in industrial purchasing decisions of value versus premium products, the COO effect can be different. It also highlights the importance of investigating the COO effect by concentrating on industrial buyers’ personal characteristics, here the DSI of importers, as moderating variables.