the multi item single period problem with an initial stock of convertible units abstract this paper deals with the situation of a number of end items each facing uncertain demand in a single period of interest besides being able to purchase units of the end items there is also available a stock of units that can be converted into end items but at unit costs that depend on the specific end item efficient solution procedures are presented for two situations i where the end item demand distributions are assumed known illustrated for the case of normally distributed demand and ii a distribution free approach where only the first two moments of the distributions are assumed known computational results for a set of problems are presented

the joint economic lot sizing problem review and extensions with the growing focus on supply chain management firms realize that inventories across the entire supply chain can be more efficiently managed through greater cooperation and better coordination this paper presents a comprehensive and up to date review of the joint economic lot sizing problem jelp and also provides some extensions of this important problem in particular a detailed mathematical description of and a unified framework for the main jelp models are given additionally a comparative empirical study of the main policies proposed for jelp is conducted the focus of this study is on assessing the deviation of these policies from the optimal solution studying the performance of different models provides additional insights that will help in justifying their use in more complex supply chain models that involve more stages or other practical considerations of interest

integrated inventory models considering the two level trade credit policy and a price negotiation scheme abstract this paper develops the integrated inventory models with permissible delay in payment in which customers demand is sensitive to the buyer s price the models consider the two level trade credit policy in the vendor buyer and buyer customer relationships in supply chain management a simple recursive solution procedure is proposed for the integrated models to determine the buyer s optimal pricing and production order strategy although the total profit from the buyer and vendor increases together the buyer s share lessens to compensate the buyer s loss due to the cooperative relationship a negotiation system is presented in order to allocate the profit increase to the vendor and buyer to determine the pricing and production order strategy a numerical example and sensitivity analysis are provided to illustrate the proposed model the results indicate that the total profit from the buyer and vendor together can increase although a price discount is given to the buyer in the proposed models

a new measure of earnings forecast uncertainty abstract relying on the well established theoretical result that uncertainty has a common and an idiosyncratic component we propose a new measure of earnings forecast uncertainty as the sum of dispersion among analysts and the variance of mean forecast errors estimated by a garch model the new measure is based on both common and private information available to analysts at the time they make their forecasts hence it alleviates some of the limitations of other commonly used proxies for forecast uncertainty in the literature using analysts earnings forecasts we find direct evidence of the new measure s superior performance

risk preferences and robust inventory decisions abstract recently in inventory management instead of maximizing expected profit or minimizing expected cost risk averse objective functions have been used for determining the optimal order quantity we use the well known newsvendor model to determine the optimal order quantity for an objective function with two risk parameters which can describe risk neutral risk averse as well as risk taking behaviour of the inventory manager this approach can also be applied to situations in which the demand distribution cannot be specified uniquely we consider robust optimization procedures maximin and minimax regret to determine optimal order quantities if the set of potential demand variables can be partially ordered by stochastic dominance rules

accurate lead time demand modeling and optimal inventory policies in continuous review systems abstract to construct an accurate probability density function for lead time demand in inventory management models a mixture of polynomials mops distributions is estimated using b spline functions from empirical data on demand per unit time this is accomplished by summarizing the empirical observations into separate datasets for each lead time value a mixture distribution approach is then applied to model lead time demand in a continuous review inventory system inventory policies can be determined without knowledge of the underlying demand and or lead time distributions an improvement to a mixture distribution approach that models the lead time demand distribution with a mixture of truncated exponentials mtes distribution is also presented and the mop and mte techniques are compared both methods provide reasonable accuracy but the mop approach requires lower computational time to determine optimal inventory policies the mixture distribution approach is also compared with solutions calculated using optimization through simulation and by compiling a discrete empirical lead time demand distribution

investors reactions to management earnings guidance the joint effect of investment position news valence and guidance form we report the results of an experiment that shows that investors earnings and investment related judgments are jointly influenced by their investment position long versus short the news valence of guidance issued by management and the amount of ambiguity in the guidance prior research indicates that guidance form point versus range has no effect on investors earnings estimates made in reaction to management guidance we extend this research by showing that guidance form matters conditional on investment position and news valence similarly prior research indicates that investors who hold long short positions in a stock are more optimistic pessimistic about the company s prospects we extend this research by showing that the effect of investment position documented in prior studies is conditional on news valence and guidance form we contribute to prior literature on the effects of investment position and guidance form by delineating boundary conditions for each of these effects

competitive and cooperative policies for the vendor buyer system abstract this paper considers a model for decentralized dynamic production distribution control we examine the situation where a vendor produces a product in a batch production environment and supplies it to a buyer under deterministic conditions some conditional games for the vendor and the buyer are defined the games are indexed by numbers of shipments acceptable to both players before the strategies competition begins a construction of nash equilibrium strategies is given in the proof of the existence theorem goyal s numerical example is used to compare our equilibrium solutions with relatively optimal policies in the cooperative case

optimal strategy for the integrated vendor buyer inventory model this note is concerned with the integrated vendor buyer inventory model two different strategies have been proposed in the literature for the problem one where the delivery quantity to the buyer at each replenishment is identical and another strategy where at each delivery all the inventory available with the vendor is supplied to the buyer we show that there is no one strategy that obtains the best solution for all possible problem parameters we also present the results of a detailed numerical study that analyses the relative performance of the two strategies for various problem parameters

newsvendor solutions via conditional value at risk minimization abstract in this paper we consider the minimization of the conditional value at risk cvar a most preferable risk measure in financial risk management in the context of the well known single period newsvendor problem which is originally formulated as the maximization of the expected profit or the minimization of the expected cost we show that downside risk measures including the cvar are tractable in the problem due to their convexity and consequently under mild assumptions on the probability distribution of products demand we provide analytical solutions or linear programming lp formulation of the minimization of the cvar measures defined with two different loss functions numerical examples are also exhibited clarifying the difference among the models analyzed in this paper and demonstrating the efficiency of the lp solutions

robust price setting newsvendor model with interval market size and consumer willingness to pay we consider a price setting newsvendor problem with partial information the newsvendor does not know the price dependent probability distribution of demand but is able to estimate lower and upper limits of the market size and consumer willingness to pay the objective is to minimize the maximum loss in expected profit or minimax regret we derive closed form expressions for optimal quantity and price and identify managerial insights

how do the stock prices of new energy and fossil fuel companies correlate evidence from china abstract this study documents the return and volatility spillover effect between the stock prices of chinese new energy and fossil fuel companies using the asymmetric bekk model based on daily samples taken from august 30 2006 to september 11 2012 the dynamics of new energy fossil fuel stock spillover are found to be significant and asymmetric compared with positive news negative news about new energy and fossil fuel stock returns leads to larger return changes in their counter assets news about both new energy and fossil fuel stock returns spills over into variances of their counter assets and the volatility spillovers depend complexly on the respective signs of the return shocks of each asset the empirical results demonstrate that new energy and fossil fuel stocks are generally viewed as competing assets that positive news about new energy stocks could affect the attractiveness of fossil fuel stocks and that new energy stock investment is more speculative and riskier than fossil fuel stock investment these results have potential implications for asset allocation financial risk management and energy policymaking

analyst characteristics timing of forecast revisions and analyst forecasting ability abstract we first examine whether analysts with certain characteristics that prior research has identified are related to superior forecasting ability systematically time their forecast revisions later in the fiscal quarter we then examine whether this superior ability persists after controlling for the timing advantage by using relative forecast error a measure that largely eliminates the timing advantage of recent forecasts using a sample of quarterly earnings forecast revisions over the 20 year period from 1990 to 2009 we find that analysts with more firm specific and general experience and more accurate prior period forecasts analysts employed by larger brokerage firms and analysts who follow fewer industries and companies tend to revise forecasts later in the quarter we also find that analyst characteristics that are positively correlated with revision timing are negatively related to relative forecast errors these results are consistent with analyst characteristics being useful proxies for analyst forecasting ability and analysts with greater ability revising forecasts later in the quarter

integrated vendor buyer cooperative models with stochastic demand in controllable lead time abstract this article presents the single vendor single buyer integrated production inventory models we relax the assumption that lead time demand x is deterministic and assume that it is stochastic also we assume that shortage during the lead time is permitted and lead time can be reduced at an added cost two models are considered here in the first model the demand of lead time follows a normal distribution and in the second model it is distribution free for both cases we develop effective iterative procedures for finding the optimal policy and numerical examples are used to illustrate the benefits of integration

assessment and optimization of clean energy equity risks and commodity price volatility indexes implications for sustainability abstract although clean energy equities have emerged as a new asset class for market participants especially environmentally concerned investors existing and previous studies pay very little attention to how equity investors in clean energy markets can reduce their downside risk the authors of this paper address this void by considering the roles of the commodity market volatility indexes of crude oil gold and silver the results of the dynamic conditional correlation model show that commodity volatilities and clean energy equity prices move in opposite directions based on the hedging effectiveness each of the three volatility indexes acts as an effective tool for reducing the risk of clean energy equity indexes the implied volatility index of crude oil is the most effective tool followed by that of gold and silver further analysis indicates the robustness of the results to the application of an asymmetric conditional correlation model the findings extend the limited understanding of how to hedge the downside risk of clean energy stock indexes and provide useful implications to market participants on the ability of implied volatility indexes of major commodities to hedge that risk

do green investments react to oil price shocks implications for sustainable development abstract this study investigates whether green investments are connected to oil price shocks while earlier papers mainly investigate the linkage between clean energy stock and crude oil prices we consider recently introduced environmental indexes consisting of companies that use eco friendly production processes and develop green infrastructures using the markov regime switching regression approach we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant albeit positive in most of the cases one possible reason behind such a finding is that the oil dependence is limited to the case of eco friendly firms the results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets one important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations this is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility hence our study aims to conceal an important void in the exiting literature

robust inventory decision under distribution uncertainty a cvar based optimization approach abstract we study the robust inventory decision making problem faced by risk averse managers with incomplete demand information in a newsvendor setting three basic models are developed expected profit maximization cvar based profit maximization and a combination of the two each model is robustly formulated under the assumption of ellipsoid discrete distribution and again under the box discrete distribution each robust model can be mathematically transformed into a second order cone program for ellipsoid uncertainty or into a general convex optimization problem for box uncertainty both transformed problems can be optimally solved directly we offer propositions with proof to show the equivalence of the transformed problems with the original ones numerical examples are given to validate the proposed approach we find that the performances under both ellipsoid and box uncertain distributions are robust finally sensitivity analysis with respect to risk averse levels and trade off coefficients is conducted to validate the proposed models and solution approaches

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

integrated vendor buyer cooperative inventory models with variant permissible delay in payments abstract the integrated inventory models usually have the advantage of reducing total cost however the way to allocate the cost savings from the integration to the buyer and vendor is critical to the success of the joint relationship between both sides to deal with this problem this paper develops the integrated models with the permissible delay in payments for determining the optimal replenishment time interval and replenishment frequency applying the models and considering the coefficient of negotiation and the maximum delay payment period a simple solution algorithm is presented to resolve the allocation of cost savings in the integration model the coefficient of negotiation is adopted to determine the compromise between the buyer s and vendor s cost savings a numerical example is used to demonstrate the feasibility of the proposed integration models a sensitivity analysis is also conducted to demonstrate some properties using the information from the proposed models the buyer and vendor can achieve an acceptable compromise solution for both sides in the supply chain management

improved quality setup cost reduction and variable backorder costs in an imperfect production process abstract this paper illustrates the relationship between quality improvement reorder point and lead time as affected by backorder rate in an imperfect production process to reduce the total system cost by optimizing the setup cost lot size lead time reorder point and process quality parameter simultaneously we first consider that the lead time demand follows a normal distribution then we apply the distribution free approach for the lead time demand we prove two lemmas which are used to find optimal solutions for the basic and distribution free models we compare our models with the existing models using numerical examples and show that significant savings over the existing models can be achieved

application of the scenario aggregation approach to a two stage stochastic common component inventory problem with a budget constraint abstract the purpose of this paper is to study from a new perspective the problem of allocating a given budget among product components that are required for manufacturing the end items in an assemble to order environment since some of the components are common to a number of different end items this constitutes a commonality inventory problem that in fact can be described as a two stage stochastic programming problem we explore the new possibilities made available by the scenario aggregation technique recently proposed by rockafeller and wets in work at the international institute of applied systems analysis iiasa their method was subsequently extended to deal with discrete problems this extension is utilized in the current study

wavelet based test of co movement and causality between oil and renewable energy stock prices abstract we studied co movement and causality between oil and renewable energy stock prices using continuous and discrete wavelets firstly to obtain information on dynamic correlations over time and for different time scales from wavelet coherence and secondly to obtain information on linear and non linear granger causality in the time frequency domain for general and sectoral renewable energy indices for the period 2006 2015 our findings indicate that dependence between oil and renewable energy returns in the short run was weak but gradually strengthened towards the long run mainly for the period 2008 2012 our causality tests provide evidence against linear causality at higher frequencies and in favour of unidirectional and bidirectional linear causality at lower frequencies in contrast we found consistent evidence of non linear causality running from renewable energy indices to oil prices at different time horizons and mixed evidence of causality running from oil to renewable energy prices these results have potential implications for investors in terms of hedging and for policymakers in terms of policy support decisions regarding the development of renewable energy

modeling renewable energy company risk abstract the renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities the tradeoff between risk and return in the renewable energy sector is however precarious renewable energy companies are often among the riskiest types of companies to invest in and for this reason it is necessary to have a good understanding of the risk factors this paper uses a variable beta model to investigate the determinants of renewable energy company risk the empirical results show that company sales growth has a negative impact on company risk while oil price increases have a positive impact on company risk when oil price returns are positive and moderate increases in sales growth can offset the impact of oil price returns and this leads to lower systematic risk

robust optimal policies of production and inventory with uncertain returns and demand abstract we consider an inventory and production planning problem with uncertain demand and returns in which the product return process is integrated into the manufacturing process over a finite planning horizon we first propose an inventory control model for the return and remanufacturing processes with consideration of the uncertainty of the demand and returns then a robust optimization approach is applied to deal with the uncertainty of the problem through formulating a robust linear programming model moreover properties on the robust optimization model are studied and an equivalent robust optimization model based on duality theory is obtained which allows the solutions to be derived more efficiently finally we provide a set of numerical examples to verify the effectiveness of the approach and analyze the effects of the key parameters on the solutions

oil price uncertainty and clean energy stock returns new evidence from crude oil volatility index abstract earlier studies evidence that oil price shocks have significant impacts on clean energy stock returns while the previous literature uses traditional oil price series to investigate such effects we aim to assess whether the variance of alternative energy stock returns can be explained using the information content of crude oil volatility index ovx an indicator of oil price uncertainty to serve our purpose we employ several measures to frame the realized volatility rv of alternative energy sector equity returns in particular we use three different range based rv estimators recommended by parkinson 1980 rogers and satchell 1991 and alizadeh et al 2002 respectively our findings reveal that clean energy stock market returns are highly sensitive to ovx shocks thus oil market uncertainty measured by ovx embodies a crucial role in modeling the volatility of renewable energy equity returns in addition we find a strong indication that ovx provides additional information beyond what is contained in the historical volatilities of equity returns we also document that the magnitude of the effect of ovx is much bigger than that of the realized variance of wti oil spot prices finally we find that the information content of crude oil volatility index improves the volatility forecasts for the clean energy equity market

a robust optimization approach to inventory theory we propose a general methodology based on robust optimization to address the problem of optimally controlling a supply chain subject to stochastic demand in discrete time this problem has been studied in the past using dynamic programming which suffers from dimensionality problems and assumes full knowledge of the demand distribution the proposed approach takes into account the uncertainty of the demand in the supply chain without assuming a specific distribution while remaining highly tractable and providing insight into the corresponding optimal policy it also allows adjustment of the level of robustness of the solution to trade off performance and protection against uncertainty an attractive feature of the proposed approach is its numerical tractability especially when compared to multidimensional dynamic programming problems in complex supply chains as the robust problem is of the same difficulty as the nominal problem that is a linear programming problem when there are no fixed costs and a mixed integer programming problem when fixed costs are present furthermore we show that the optimal policy obtained in the robust approach is identical to the optimal policy obtained in the nominal case for a modified and explicitly computable demand sequence in this way we show that the structure of the optimal robust policy is of the same base stock character as the optimal stochastic policy for a wide range of inventory problems in single installations series systems and general supply chains preliminary computational results are very promising

biased forecasts or biased earnings the role of reported earnings in explaining apparent bias and over underreaction in analysts earnings forecasts the extensive literature that investigates whether analysts earnings forecasts are biased and or inefficient has produced conflicting evidence and no definitive answers to either question this paper shows how two relatively small but statistically influential asymmetries in the tail and the middle of distributions of analysts forecast errors can exaggerate or obscure evidence consistent with analyst bias and inefficiency leading to inconsistent inferences we identify an empirical link between firms recognition of unexpected accruals and the presence of the two asymmetries in distributions of forecast errors that suggests that firm reporting choices play an important role in determining analysts forecast errors r 2003 elsevier b v all rights reserved

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

minimax distribution free procedure with backorder price discount abstract the inventory models analyzed in this paper explore the problem in which the lead time and ordering cost reductions are inter dependent in the continuous review inventory model with backorder price discount the objective is to minimize total related cost by simultaneously optimizing the order quantity reorder point lead time and backorder price discount moreover we assume that the mean and variance of the lead time demand are known but its probability distribution is unknown we apply a minimax distribution free procedure to find the optimal solution and three numerical examples are given to illustrate the results

hedging emerging market stock prices with oil gold vix and bonds a comparison between dcc adcc and go garch while much research uses multivariate garch to model volatility dynamics and risk measures one particular type of multivariate garch model go garch has been underutilized this paper uses dcc adcc and go garch to model volatilities and conditional correlations between emerging market stock prices oil prices vix gold prices and bond prices a rolling window analysis is used to construct out of sample one step ahead forecasts of dynamic conditional correlations and optimal hedge ratios in most of the situations we study oil is the best asset to hedge emerging market stock prices hedge ratios from the adcc model are preferred most effective for hedging emerging market stock prices with oil vix or bonds hedge ratios estimated from the go garch are most effective for hedging emerging market stock prices with gold in some instances these results are reasonably robust to choice of model refits forecast length and distributional assumptions

the leverage effect puzzle disentangling sources of bias at high frequency the leverage effect refers to the generally negative correlation between an asset return and its changes of volatility a natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high frequency data the puzzle lies in the fact that such an intuitively natural estimate yields nearly zero correlation for most assets tested despite the many economic reasons for expecting the estimated correlation to be negative to better understand the sources of the puzzle we analyze the different asymptotic biases that are involved in high frequency estimation of the leverage effect including biases due to discretization errors to smoothing errors in estimating spot volatilities to estimation error and to market microstructure noise this decomposition enables us to propose novel bias correction methods for estimating the leverage effect

the joint economic lot size problem a review abstract this article reviews lot size models which focus on coordinated inventory replenishment decisions between buyer and vendor and their impact on the performance of the supply chain these so called joint economic lot size jels models determine order production and shipment quantities from the perspective of the supply chain with the objective of minimizing total system costs this paper first describes the problem studied introduces the methodology of the review and presents a descriptive analysis of the selected papers subsequently papers are categorized and analyzed with respect to their contribution to the coordination of different echelons in the supply chain finally the review highlights gaps in the existing literature and suggests interesting areas for future research

a single vendor single manufacturer integrated inventory model with stochastic demand and variable production rate abstract this paper investigates an alternative way to react to demand uncertainty in an integrated inventory model namely the variation of the production rate that enables the manufacturer to reduce lead times and the corresponding demand uncertainty to investigate the impact of variable production rates on the supply chain this paper considers a single vendor single manufacturer integrated inventory model where the vendor ships finished products in multiples of full truckloads to the manufacturer the objective of the model is to coordinate both production and distribution of the product in such a way that the total costs of the supply chain are minimized a solution procedure is suggested and the behaviour of the model is analysed in numerical examples obviously the total supply chain cost is reduced when the manufacturer s production rate is included as a decision variable in the model these savings can generally benefit both the vendor and the manufacturer however in situations where coordinated decision making is initially not beneficial to the vendor the supply chain members can benefit from a revenue sharing contract that supports the sharing of the total savings the model proposed in the paper at hand supports both the determination of an optimal production rate as well as the distribution of coordination benefits among the supply chain members

lead time reduction strategies in a single vendor single buyer integrated inventory model with lot size dependent lead times and stochastic demand this paper studies alternative methods for reducing lead time and their impact on the safety stock and the expected total costs of a q s continuous review inventory control system we focus on a single vendor single buyer integrated inventory model with stochastic demand and variable lot size dependent lead time and assume that lead time consists of production and setup and transportation time as a consequence lead time may be reduced by crashing setup and transportation time by increasing the production rate or by reducing the lot size we illustrate the benefits of reducing lead time in numerical examples and show that lead time reduction is especially beneficial in case of high demand uncertainty further our studies indicate that a mixture of setup time and production time reduction is appropriate to lower expected total costs

risk spillover between energy and agricultural commodity markets a dependence switching covar copula model abstract unlike previous studies we employ a relatively newer modelling technique a time varying copula with a switching dependence to characterise the conditional dependence between energy and agricultural commodity markets in a more realistic way because the dependence may switch between positive and negative correlation regimes over time a dependence switching copula more appropriately and realistically captures a dependence structure than a single copula regime our findings indicate that the lower tail dependence is much stronger in a bearish regime than in a bullish regime highlighting the importance of systematic risk spillovers during extreme downward movements furthermore the significant risk spillovers from energy to agricultural commodities are verified by measuring the conditional value at risk covar and delta covar finally some useful implications are summarized for investors portfolios and risk avoidance

reliability evaluation and adjustment of supply chain network design with demand fluctuations this study focuses on supply chain network design problems by considering economies of scale and demand fluctuations a reliability evaluation method is developed to evaluate the performance of plants under demand fluctuations in addition two mathematical programming models are developed to determine the optimal adjustment decisions regarding production reallocation among plants under different fluctuating demands the judgments to adjust or to do nothing are investigated by comparing the results if the adjustment is made or not made results show that making adjustments benefits the manufacturers by reducing total production cost and avoiding revenue loss which outweighs the extra costs especially for high value added products results also suggest that the manufacturer should ignore a short period abnormal state since the benefits to respond to it might not compensate the high allocation costs the results of this study provide a reference for the manufacturer in their decision making process of network planning with demand fluctuations when they have to cope with benefits and costs during abnormal states

stock prices of clean energy firms oil and carbon markets a vector autoregressive analysis recent discussions of energy security and climate change have attracted significant attention to clean energy we hypothesize that rising prices of conventional energy and or placement of a price on carbon emissions would encourage investments in clean energy firms the data from three clean energy indices show that oil prices and technology stock prices separately affect the stock prices of clean energy firms however the data fail to demonstrate a significant relationship between carbon prices and the stock prices of the firms

impact of silver price uncertainty on solar energy firms abstract to the best of our knowledge we are the first to investigate if silver market uncertainty impacts the stock price performance of solar energy firms such investigation could be of vital importance to investors and policymakers given that silver is heavily utilized in photovoltaic pv process for producing solar energy methodologically we apply the garch jump process to estimate the effect of silver market uncertainty proxied by silver volatility index vxslv on the global solar energy stock indexes using a recent data set we document the following key findings first there exists a negative effect of vxslv on the equity indexes under study this result suggests that an upsurge in silver market volatility would create a chaos in the solar energy business second the impact of silver volatility index on renewable energy firms holds even when we control for the impact of oil price volatility ovx albeit ovx when compared to vxslv transmits higher risk to alternative energy stocks as evidenced by the magnitudes of the estimated parameters third the impact of silver market uncertainty appears to be symmetric implying that increases and decreases in vxslv would have a homogeneous impact on the solar energy stock returns we finally show that equity prices of solar energy firms are characterized by time varying jumps the implications of the results are discussed as well

the distribution free newsboy problem with resalable returns we study the case of a catalogue internet mail order retailer selling style goods and receiving large numbers of commercial returns returned products arriving before the end of the selling season can be resold if there is sufficient demand a single order is placed before the season starts excess inventory at the end of the season is salvaged and all demands not met directly are lost since little historical information is available it is impossible to determine the shape of the distribution of demand therefore we analyze the distribution free newsboy problem with returns in which only the mean and variance of demand are assumed to be known we derive a simple closed form expression for the distribution free order quantity which we compare to the optimal order quantities when gross demand is assumed to be normal lognormal or uniform we find that the distribution free order rule performs well when the coefficient of variation cv is at most 0 5 but is far from optimal when the cv is large

confirming management earnings forecasts earnings uncertainty and stock returns in this study we examine the association among confirming management forecasts stock prices and analyst expectations confirming management forecasts are voluntary disclosures by management that corroborate existing market expectations about future earnings this study provides evidence that these voluntary disclosures affect stock prices and the dispersion of analyst expectations specifically we find that the market s reaction to confirming forecasts is significantly positive indicating that benefits accrue to firms that disclose such forecasts in addition although we find no significant change in the mean consensus forecasts a proxy for earnings expectations around the confirming forecast date evidence indicates a significant reduction in the mean and median consensus analyst dispersion a proxy for earnings uncertainty finally we document a positive association between the reduction of dispersion of analysts forecasts and the magnitude of the stock market response overall the evidence suggests that confirming forecasts reduce uncertainty about future earnings and that investors price this reduction of uncertainty

the distribution free newsboy problem extensions to the shortage penalty case abstract in the classical newsboy problem no cost is assumed if the ordered quantity is less than the demand however in reality failure to meet demand is always associated with a penalty the aim of this work is to extend the analysis of the distribution free newsboy problem to the case when shortage cost is taken into consideration the analysis is based on the assumption that only the mean and variance of demand are known but its particular probability distribution is not a model is presented for determining both an optimal order quantity and a lower bound on the profit under the worst possible distribution of the demand the following cases are considered the single product case the fixed ordering cost case the random yield case and the resource constrained multi product case

the newsvendor problem review and directions for future research in this paper we review the contributions to date for analyzing the newsvendor problem our focus is on examining the specific extensions for analyzing this problem in the context of modeling customer demand supplier costs and the buyer risk profile more specifically we analyze the impact of market price marketing effort and stocking quantity on customer demand how supplier prices can serve as a coordination mechanism in a supply chain setting integrating alternative supplier pricing policies within the newsvendor framework and how the buyer s risk profile moderates the newsvendor order quantity decision for each of these areas we summarize the current literature and develop extensions finally we also propose directions for future research

is there dependence and systemic risk between oil and renewable energy stock prices abstract we study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value at risk as a measure of systemic risk we found significant time varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30 to downside and upside risk of renewable energy companies these results have important implications for risk management and renewable energy policies

firm characteristics and analyst following abstract this paper examines the major determinants of the number of analysts following a firm a simple model of analyst following is proposed and several firm characteristics are suggested that are likely to influence the extent of a firm s analyst following by either affecting the aggregate demand for or supply of analyst services or both for the firm almost all of these characteristics are found to be strongly significant in affecting the extent of analyst following of firms and the empirical results generally accord well with economic intuition

multi product newsvendor problem with value at risk considerations abstract we consider the single period stochastic inventory newsvendor problem with downside risk constraints the aim in the classical newsvendor problem is maximizing the expected profit this formulation does not take into account the risk of earning less than a desired target profit or losing more than an acceptable level due to the randomness of demand we utilize value at risk var as the risk measure in a newsvendor framework and investigate the multi product newsvendor problem under a var constraint to this end we first derive the exact distribution function for the two product newsvendor problem and develop an approximation method for the profit distribution of the n product case n 2 a mathematical programming approach is used to determine the solution of the newsvendor problem with a var constraint this approach allows us to handle a wide range of cases including the correlated demand case that yields new results and insights the accuracy of the approximation method and the effects of the system parameters on the solution are investigated numerically