Market response models that use field-generated data are required to address potential endogeneity in the regressors to obtain consistent parameter estimates. Another requirement is that market response models predict well in a holdout sample. Combining both requirements, it may seem reasonable...

We develop a testing methodology that can be used to predict the performance of email marketing campaigns in real time. We propose a split-hazard model that makes use of a time transformation (a concept we call virtual time) that allows for the estimation of straightforward parametric hazard...

We propose an adjustment of standard regression-based factor attribution to address a common issue: implementation constraints often mean that investors cannot realize the full potential of a factor strategy, but standard attribution analysis assumes that they can – leaving part of the...

We use S&P 500 index return data for the time period 1985-2012 to evaluate the performance of portfolio insurance strategies. We shed light on the question if the performance of a constant proportion portfolio insurance (CPPI) strategy can be improved by means of a time-varying multiplier which...

Food businesses, especially those facing supply chain challenges, operate within a global environment characterized by uncertainty. The effects of the COVID-19 pandemic have underscored substantial losses in this sector. Our study aims to develop a mixed-formative-reflexive construct model that...

In this article we examine the risk factors that help explain long/short equity (LSE) mutual fund performance. We show that for most LSE mutual funds, 50%-80% of their returns can be explained using common factors such as capitalization, book-to-value ratio, dividend yield, and volatility. The...