Congestion pricing

Merton 's (1973) intertemporal capital asset pricing model (ICAPM) was developed to capture this multi-period aspect of financial market equilibrium. We still don 't know exactly how many factors there are, but the ICAPM at least gives us some guidance. Consumption-Oriented Capital Asset Pricing Model The consumption-based model of Breeden (1979) provides a logical extension of the previous work in asset pricing. Based on this "diminishing marginal utility of consumption," securities…

The most widely accepted conceptualization of the customer satisfaction concept is the Expectancy Confirmation Theory (alternatively ECT or expectation disconfirmation theory). The structure of this theory was developed in a series of two papers written by Richard L. Oliver in 1977 and 1980. Expectation confirmation theory is a cognitive theory which seeks to explain post purchase or post-adoption satisfaction as a function of expectations, perceived performance, and disconfirmation of beliefs.…

high sensitivities to liquidity exceeds that for stocks with low sensitivities in the year 1966 until 1999. According to Pastor, L. & Stambaugh, R. F., they are used stock return to measure the market-wide is a state variable important for asset pricing as…

The newsvendor problem is a mathematical model which is used to determine the optimal stock under uncertainty. In the following, the newsvendor context under cost minimization will be introduced. Let h be the unit holding cost respectively the unit overage cost (as we regard the pure cost context) and b the unit penalty of not serving demand (or unit backorder cost) respectively the unit underage cost. Then, the target inventory B is equal to the mean demand µ plus safety stock SS. The safety…

Introduction J&PInvestments is a newly formed portfolio management company. Our company held and managed a $1,000,000 portfolio, conducting 19 trades from September 27th, 2016 to November 15th, 2016. At the end of the trading period, the total return on our portfolio was 0.01%, our holdings as of November 15th, 2016 can be viewed in Appendix A. The purpose of this exercise was to observe how stocks move. We have included justifications for the stocks we chose, an analysis of the portfolio’s…

Univariate Binomial Tree Cox, Ross and Rubinstein (1979) developed the binomial option pricing model which converges to the Black-Scholes formula in the continuous limit and demonstrates the advantage in valuing American-style options. The model approximates the behavior of an asset price by the upward and downward changes in the asset price over a particular interval of time. As shown in Figure 1, an asset with a current price of S follows a multiplicative binomial process in which the…

connected to ESG factor loading are quite interesting and could stimulate research over the risk-return characteristic of ESG companies. Moreover, the risk lowering capabilities of ESG practices should receive further attention from academics. The pricing anomaly connected to high ESG scoring firm should be covered from future studies. Given the changing economic and social landscape, the reasons behind higher financial performance for CSR practice needs to be updated. This could result from…

Valuation Methodology In order to value Graincorp’s stock, this report used two-stage discounted cash flow (DCF) model. This model is chosen considering that Graincorp is in the mature stage, with the characteristics of paying high dividends and has a high leverage. Moreover, management stated that they are building another silos by this year, so it is assumed that Graincorp will have an increasing growth for several periods and will drop to the stable growth afterwards. Hence, the first stage…

Capital asset pricing model According to Ross, Westerfield and Jordan (2008) capital asset pricing model is the equation of the security market line showing the relationship between expected return and beta. It is use to calculate the rate of return for risky asset. CAPM state that expected return of a security or a portfolio equals the rate on a risk free security plus a risk premium. Formula for CAPM E(Ri)=Rf + [{E(Rm) - Rf}] βi Where, E(Ri)= return required on financial asset I, Rf= risk…

There are different asset pricing models used in establishing the required rate of return for different types of assets. The models, including the capital asset pricing model (CAPM), the Arbitrage Pricing Theory (APT), and the Dividend Discount Model (DDM) use several assumptions regarding the information available to investors to establish the value of assets. Information is essential in the financial markets, it influences investors decision to invest and how successful is the investment if…