optimal pricing shipment and payment policy for an integrated supplier buyer inventory model with two part trade credit abstract in this article we develop an integrated supplier buyer inventory model with the assumption that the market demand is sensitive to the retail price and the supplier adopts a trade credit policy the trade credit policy discussed in this paper is a two part strategy cash discount and delayed payment that is if the buyer pays within m1 the buyer receives a cash discount otherwise the full purchasing price must be paid before m2 where m 2 m 1 0 the objective of this research is to determine the optimal pricing ordering shipping and payment policy to maximize the joint expected total profit per unit time an iterative algorithm is established to obtain the optimal strategy furthermore numerical examples and sensitivity analysis are presented to illustrate the results of the proposed model and to draw managerial insights

financial performance analysis of ontario canada credit unions an application of dea in the regulatory environment abstract models are developed to detect weaknesses in credit unions in ontario canada so that potential financial failures can be predicted four data envelopment analysis dea models are presented and compared with the equity to asset ratio and with the government regulator s extensively modified z score model the equity asset ratio is shown to provide as good a prediction of failure as any of the other models and is not improved upon by the much more complex z score model the best dea model provides results comparable to the equity asset ratio when a slack adjusted efficiency score is used to measure efficiency particularly for credit unions with larger asset sizes however dea also provides indications of where opportunities lie for improvements by weak units by providing specific information relevant to managers hence for each credit union comparison is made with a peer group of efficient entities that the inefficient institution s management can emulate to improve their performance

negotiation and the ipo offer price a comparison of integer vs non integer ipos we investigate the pricing of 4 989 equity ipos with offer dates between 1981 and 2000 approximately three fourths of these ipos have integer offer prices average initial returns for ipos with integer offer prices are significantly higher 24 5 than those priced on the fraction of the dollar 8 1 this result is robust through time and after conditioning for other effects known to influence initial returns we hypothesize that integer vs fractional dollar ipos are the result of negotiations between the issuing firm and underwriter under this negotiation hypothesis the frequency of integer pricing should be an increasing function of the offer price and the degree of uncertainty surrounding the value of the firm empirical evidence supportive of the negotiation hypothesis is presented

a day end transaction price anomaly a large mean price change is observed on the last daily nyse transaction this suggests that closing prices may not consistently represent stock values transaction prices are studied to further characterize the day end price rise and to determine whether it is due to any limited subsample of stocks or dates the results indicate that the phenomenon is pervasive over most firms and days some evidence suggests that it is caused by a change in the frequency of ask prices at day end

the optimal cycle time for epq inventory model under permissible delay in payments abstract goyal journal of the operational research society 36 1985 35 38 discusses the economic order quantity under conditions of permissible delay in payments an implicit assumption of goyal journal of the operational research society 36 1985 35 38 is that the items are obtained from an outside supplier the entire lot size is delivered at the same time if we wish to adopt all results obtained by goyal journal of the operational research society 36 1985 35 38 then we are effectively assuming that the replenishment rate is infinite the main purpose of this paper is to extend goyal journal of the operational research society 36 1985 35 38 to the case that the units are replenished at a finite rate when the replenishment rate approaches to infinite goyal journal of the operational research society 36 1985 35 38 will be a special case of this paper

do investors prefer even eighth prices evidence from nyse limit orders abstract using a large sample of limit orders on nyse stocks we find that investors submit more limit orders with even eighth prices than odd eight prices however even though there are a greater number of even eighth limit orders the proportion of executing limit orders submitted with even prices is greater than those submitted with odd prices for a large portion of our sample we find that clustering on even prices is a positive function of stock price and various proxies for the dispersion in investors reservation prices the preference for even prices affects stock quotes investors are more likely to submit a quote improving limit order if the limit price is even and quoted depth is higher for even quotes than for odd quotes

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

stock price clustering and discreteness stock prices cluster on round fractions clustering increases with price level and volatility and decreases with capitalization and transaction frequency clustering is pervasive price clustering will occur if traders use discrete price sets to simplify their negotiations exchange regulations require that most stocks be traded on eighths clustering on larger fractions will occur if traders choose to use discrete price sets based on quarters halves or whole numbers an econometric model of clustering is derived and estimated projections from the results suggest that traders would frequently use odd sixteenths when trading low price stocks if exchange regulations permitted trading on sixteenths article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

a review of trade credit literature opportunities for research in operations abstract trade credit arises when a buyer delays payment for purchased goods or services its nature has predominantly been an area of inquiry for researchers from the disciplines of finance marketing and economics but it has received relatively little attention in other domains in our article we provide an integrative review of the existing literature and discuss conflicting study outcomes we organize the relevant literature into seven areas of inquiry and analyze four in detail trade credit motives order quantity decisions credit term decisions and settlement period decisions additionally we derive a detailed agenda for future research in these areas

penny wise dollar foolish buy sell imbalances on and around round numbers this paper provides evidence that stock traders focus on round numbers as cognitive reference points for value using a random sample of more than 100 million stock transactions we find excess buying selling by liquidity demanders at all price points one penny below above round numbers further the size of the buy sell imbalance is monotonic in the roundness of the adjacent round number i e largest adjacent to integers second largest adjacent to half dollars etc conditioning on the price path we find much stronger excess buying selling by liquidity demanders when the ask falls bid rises to reach the integer than when it crosses the integer we discuss and test three explanations for these results finally 24 hour returns also vary by price point and buy sell imbalances are a major determinant of that variation across price points buying selling by liquidity demanders below above round numbers yield losses approaching 1 billion per year this paper was accepted by brad barber teck ho and terrance odean special issue editors

an eoq model with noninstantaneous receipt and exponentially deteriorating items under two level trade credit abstract this paper considers the impact of the trade credit policy on the classical economic production quantity epq model for an item subject to exponential decays essentially this study focuses on an exponentially deteriorating item under the conditions of the retailer receiving the supplier trade credit and providing the customer trade credit simultaneously so as to minimize the average total cost a theorem is developed to determine the optimal replenishment policies the main contribution to literature is the inclusion of the latter type of payment delay finally through numerical examples sensitive analysis shows the influence of key model parameters

price clustering of chinese ipos the impact of regulation cultural factors and negotiation abstractduring june 2009 may 2012 the china securities regulatory commission csrc suspended window guidance that limits issue prices using this regime change as a natural experiment we test th

optimal inventory policy with noninstantaneous receipt under trade credit abstract in the last two decades the models for inventory replenishment policies under trade credit have been widely studied by several researchers however the extant papers only consider the effects of permissible delay in payments in the inventory systems in some situations the supplier also may offer a cash discount to encourage retailer to pay for his purchases quickly on the other hand an inventory model with instantaneous receipt is not a common feature in actual practice for generality this study develops an inventory model with noninstantaneous receipt under trade credit in which the supplier provides not only a permissible delay but also a cash discount to the retailer we then characterize the optimal solution and provide an easy to use criterion to find the optimal order strategies finally several numerical examples are presented to illustrate the theoretical results

estimating most productive scale size using data envelopment analysis abstract the relation between the most productive scale size mpss for paparticular input and output mixes and returns to scale for multiple inputs multiple outputs situations is explicitly developed this relation is then employed to extend the applications of data envelopment analysis dea introduced by charnes cooper and rhodes ccr to the estimation of most productive scale sizes for convex production possibility sets it is then shown that in addition to productive inefficiencies at the actual scale size the ccr efficiency measure also reflects any inefficiencies due to divergence from the most productive scale size two illustrations of the practical applications of these results to the estimation of most productive scale sizes and returns to scale for hospitals and stem electric generation plants are also provided emphasize the advantage of this method in examining specific segments of the efficient production surface

the simplified solution algorithm for an integrated supplier buyer inventory model with two part trade credit in a supply chain system abstract ho et al ho c h ouyang l y su c h 2008 optimal pricing shipment and payment policy for an integrated supplier buyer inventory model with two part trade credit european journal of operational research 187 496 510 discussed the integrated inventory model with two part trade credit and presented an algorithm to solve it basically ho et al s inventory model is correct and interesting however this paper indicates that the solution algorithm described in ho et al 2008 can be simplified further so this paper can not only derive the optimally closed form formulations for the optimal numbers of shipments but also develop different algorithms to improve those in ho et al 2008 numerical examples illustrate that the algorithm to locate the optimal solution is rather accurate and rapid

short and long run credit constraints in french agriculture a directional distance function framework using expenditure constrained profit functions this empirical application investigates the eventual presence of credit constraints using a panel of french farmers the credit constrained profit maximization model proposed by fare grosskopf and lee is extended in three ways first we rephrase the model in terms of directional distance functions to allow duality with the profit function second we model credit constraints in the short run and investment constraints in the long run using short and long run profit functions third we lag the expenditure constraint one year to account for the separation between planning and production we find empirical evidence of credit and investment constraints financially unconstrained farmers are larger perform better and seem to benefit from a virtuous circle where access to financial markets allows better productive choices

the viewpoint on optimal inventory policy with non instantaneous receipt under trade credit by ouyang teng chuang and chuang abstract ouyang et al 2005 international journal of production economics 98 290 300 develop an inventory model with non instantaneous receipt under trade credit in which the supplier provides not only a permissible delay but also a cash discount to the retailer they establish a criterion to find the optimal order cycle such that the total relevant cost per unit time is minimized although their inventory model is correct and interesting their solution procedure has shortcomings such that it cannot locate all optimal order cycles so the main purpose of this paper will remove the shortcoming of ouyang et al 2005 and present a solution procedure to search for the entirely optimal order cycles furthermore this paper reveals an example to show that ouyang et al s 2005 solution procedure does not work for locating the optimal order cycle to that example however our solution procedure does in sum this paper improves ouyang et al 2005

quotes order flow and price discovery the goal of this article is to examine the impact of 1975 congressional mandate to integrate the trading of nyse listed stocks the conclusions are most of the time the new york stock exchange nyse quote matches or determines the best displayed quote and the nyse is the most frequent initiator of quote changes non nyse markets attract a significant portion of their volume when they are posting inferior bids or offers indicating they obtain order flow for other reasons such as payment for order flow yet when a non nyse market does post a better bid or offer it does attract additional order flow

an inventory model with deteriorating items under inflation when a delay in payment is permissible abstract this study develops an inventory model for initial stock dependent consumption rate when a delay in payment is permissible in the inventory model shortages are not allowed the effect of the inflation rate deterioration rate initial stock dependent consumption rate and delay in payment are discussed in the study mathematical models are also derived under two different circumstances i e case i the credit period is less than or equal to the cycle time for settling the account and case ii the credit period is greater than the cycle time for settling the account besides expressions for an inventory system s total cost are derived for these two cases moreover a computational procedure and gino lasdon et al acm transactions mathematical software 4 1978 34 50 are proposed to obtain the optimal order size and cycle time the results can help managers determine the optimal total cost finally a numerical example demonstrates the applicability of the proposed model

optimal price discounting and lot sizing policies for perishable items in a supply chain under advance payment scheme and two echelon trade credits abstract many researchers have assumed that a retailer announces price discount to motivate market sales when he has competition in markets unanticipated surplus in inventory or change in the production run of a product but in real life situations there are retailers who announce price discount offer under advance payment ap scheme prior to the selling period due to the advancement of internet and on line money transactions the ap scheme is common and useful to decrease the estimation error in demand and to increase the market sales when the items are arrived to the inventory the priority will be given to the customers who use ap scheme this paper considers a supply chain where the supplier provides the retailer a full trade credit period for payments whereas the retailer offers the partial trade credit to his customers i intend to develop an economic order quantity eoq based model with perishable items in order to investigate the retailer s inventory system as a cost minimization problem under ap scheme and two echelon trade credit option mathematical theorems are developed to determine optimal price discounting and lot sizing policies and a lot of managerial phenomena are obtained through numerical examples

generalized dea model of fundamental analysis and its application to portfolio optimization abstract fundamental analysis is used in asset selection for equity portfolio management in this paper a generalized data envelopment analysis dea model is developed to analyze a firm s financial statements over time in order to determine a relative financial strength indicator rfsi that is predictive of firm s stock price returns rfsi is based on maximizing the correlation between the dea based score of financial strength and the stock market performance this maximization involves a difficult binary nonlinear program that requires iterative re configuration of parameters of financial statements as inputs and outputs we utilize a two step heuristic algorithm that combines random sampling and local search optimization the proposed approach is tested with 230 firms from various us technology industries to determine optimized rfsi indicators for stock selection then those selected stocks are used within portfolio optimization models to demonstrate the usefulness of the scheme for portfolio risk management

implications of the discreteness of observed stock prices stock prices on the organized exchanges are restricted to be divisible by 1 8 therefore the true price usually differs from the observed price this paper examines the biases resulting from the discreteness of observed stock prices it is shown that the natural estimators of the variance and all of the higher order moments of the rate of returns are biased an approximate set of correction factors is derived and a procedure is outlined to show how the correction can be made the natural estimators of the beta and of the variance of the market portfolio on the other hand are nearly unbiased the behavior of stock prices has been an issue of interest to the financial economist for many years this interest resulted in a growing number of empirical studies which attempt to estimate this behavior e g blattberg and gonedes 2 fama 6 fama and roll 7 8 barnea and downes 1 to date stock price behavior is estimated under the assumption that the observed trading price is the true equilibrium price however observed stock prices and stock price changes on the organized exchanges are restricted to multiples of 1 8 of a dollar 1 therefore if the true distribution of stock prices is continuous an observed trading price can be different from the true price this paper examines the biases in estimating the moments of stock price changes caused by the discreteness of observed stock prices the major focus of the paper is in noting this problem providing a model which explains the source of these biases and quantifying their size section i demonstrates that due to the discrete nature of observed stock prices the natural estimators for the variance and for the higher order moments of the rate of returns are biased upward this bias is larger for stocks with lower prices and smaller standard deviation for instance assuming that the standard deviation a is 0 001 the stock price is one dollar the true probability distribution of stock prices is lognormal and the observed prices are as close as possible to the true prices then the natural estimator of r has expectation 0 01400 hence it is biased upward by 1300 significant biases have important implications in option pricing we derive an approximate set of correction factors which can be applied to the

an analysis of intraday patterns in price clustering on the tokyo stock exchange abstract stock prices tend to cluster at round numbers a phenomenon observed in many markets using tick by tick transaction data this article studies price clustering on the tokyo stock exchange which is a computerized limit order market as for the intraday pattern the degree of price clustering is greatest at the market opening then it decreases during the first half hour and reaches a stable level it does not increase again near the market closing there is no clear difference in clustering between call auctions and continuous auctions

continuous review inventory model with delay in payments abstract in this paper we examine the continuous review inventory model under permissible delays in payments that is a retailer has the option of either paying for the goods immediately upon the receipt of the order or delay the payment till the next replenishment order where interest will be charged over the delay period expected demand will be assumed constant over time and the order lead time is considered random the objective is to find the optimal ordering quantity and reorder level that will maximize the vendor s total expected profit per unit time when payments are delayed