International Journal of Revenue Management (5 papers in press)
Can Profit Targets Improve the Profitability of Candlestick Charting?
by Tsung-Hsun Lu
Abstract: This study proposes a different way to implement candlestick trading rules. Applying profit targets to the SOX component stocks from 1992 to 2016, I find two three-day candlestick patterns can earn over 1% profit significantly after considering transaction costs and the data-snooping problem. This profit target approach thus seems to provide an alternative way for investors to decide on which day to exit the market.
Keywords: Candlestick charting; Profit target; SOX component stocks; Financial crisis; Sub-sample test.
A Proposed PSC Fiscal Regime for South Sudans Oil Market: A New Model Harmonizing Contractors and Governments NPVs
by Mac Darlington Uche Onuoha, Menglan Duan, Henry Elochukwu
Abstract: Investment decision of any company is depended on the economic benefits accruable from such project and as to what rate, its return of investment would be. Economic evaluation of projects feasibility is largely done based on NPV estimations which involves the discounting of future earnings to present, and then, finding the net value to ascertain the present worth of the project, and how much it could increase the companys share value. In this paper, the impact of production sharing formula on the contractor and host governments net present values (NPV) was investigated by using the production sharing contract (PSC) of four different countries: Malaysia, Indonesia, Brunei and South Sudan. Analytical results showed the Malaysian's PSC term gives higher NPV to contractor than that of Indonesia and Brunei, whilst the contractor in South Sudan made higher NPV leaving the host government with a lesser share. Thus, a new PSC model is proposed for the government of South Sudan which was then used to re-evaluate the same field case in order to ascertain its effectiveness as an alternative contract term for the government. Result findings from the proposed PSC model showed the contractor gaining an additional 0.434 % NPV in comparison to Malaysian context, while in South Sudans context, an increase of 13.40 % NPV was seen to be gained by the government, thereby, reducing the excessive profit made by the contractor to 61.54 %. However, the proposed model also treaded very well with high level of acceptance to other economic evaluation indicators, making it attractive, and defends its suitability as an alternative instrument for petroleum fiscal policy reform for South Sudanese government.
Keywords: Production sharing contract; net present value; minimum rate of return; internal rate of return; payback period; sensitivity analysis.
New Asset Liability Management Model with Decision Support System for Life Insurance Companies: Interface Design Issues for Database and Mathematical Models
by Harish Rao, Goutam Dutta, Sankarshan Basu
Abstract: We introduce a new Asset Liability Management model based decision support system (DSS) for a life insurance firm. The DSS is based on multi-stage Stochastic Linear Programming (SLP) with recourse for strategic planning. The model can be used with minimal knowledge of management sciences. The model maximizes the expected value of total reserve (policy holders reserve and shareholders reserve) at the end of the time period of planning with constraints both on the asset and the liability side of the firms balance sheet. We discuss issues related to DSS interface design, one to one correspondences between the SLP model and the database and the difficulty in multi stage DSS compared to two stage DSS. We also compare and contrast the similarities and differences with our earlier work on SLP based DSS for process industries.
Keywords: Decision support system; stochastic optimization; financial institutions; strategic planning; asset liability management; insurance.
The Other Side of Revenue Management: Managing Airport Infrastructure and Airside Operations
by Daniel Rust, L. Douglas Smith, Dana Ryan, Juan Zhang
Abstract: Revenue management has its roots in the marketing of airline passenger service following the deregulation of the industry in 1978. It is largely credited for opening opportunities for low-cost air travel worldwide but condemned for deleterious effects on service and increases in costs to consumers in many markets as industry consolidation occurred and airlines redesigned their route and fare structures competitively. In this paper, we discuss the challenges of right-sizing airport infrastructure and managing airside operations effectively in response to airlines revenue-management practices. An historical review of dramatic changes at St. Louis Lambert International Airport shows motivations and risks of large capital expenditures and related revenues. A new analytical model to support adaptive airport planning and management is presented for non-financial measures of airside performance affected by airline revenue-management practices.
Keywords: airport revenue management; airport capacity planning; airport traffic management.
Examining the performance index of retail pricing strategies under different types of competition
by Ilyoung Jung, Imsu Park, Jeong Hoon Choi
Abstract: This study aims to measure and compare the efficiency of two pricing strategies of retail chains, a Hi-Lo pricing strategy and an everyday low price (EDLP) strategy, according to different types of competition. To reflect retail chains characteristics, this study suggests the speed of price adjustment approach to measure the efficiency of retail chains with different pricing strategies and different types of market competition. The dataset yields a panel dataset, which has both cross-sectional and longitudinal properties, and it consists of 5,814 observations with 308 weekly time points and 19 regional markets. The empirical analysis by the nonlinear seemingly unrelated regression (NLSUR) estimation fitted into the panel dataset lead to several findings. The estimated speed of price adjustment in the local market reflects well the efficiency of a Hi-Lo pricing strategy according to different types of market competition. In highly competitive markets, the Hi-Lo chains show a greater speed of price adjustment, whereas a slower speed is shown in less concentrated markets. In particular, the Hi-Lo chains in the leader market position with the EDLP followers show that the speed of price adjustment is slower than in other markets. When Hi-Lo chains compete with each other in the same market, they offer price discounts more aggressively and adjust the price rapidly as a means to maintain their market position.
Keywords: retail competition; retail pricing strategies; the price adjustment model; nonlinear SUR estimation.