Dynamics of brand competition: Effects of unobserved social networks

Brand competition is modelled using an agent based approach in order to examine the long run dynamics of market structure and brand characteristics. A repeated game is designed where myopic firms choose strategies based on beliefs about their rivals and consumers. Consumers are heterogeneous and can observe neighbour behaviour through social networks. Although firms do not observe them, the social networks have a significant impact on the emerging market structure. Presence of networks tends to polarize market share and leads to higher volatility in brands. Yet convergence in brand characteristics usually happens whenever the market reaches a steady state. Scale-free networks accentuate the polarization and volatility more than small world or random networks. Unilateral innovations are less frequent under social networks.

Brand protection and the globalization of British business

In expanding on earlier analyses of the evolution of multinational business that have drawn from concepts of competition and innovation, this study examines the strategies used by British multinationals, between 1870 and 1929, to protect the global reputation of their brands, which were crucial to their survival and success. Even after the passage of new trademark legislation in 1876, enforcement of trademarks remained expensive, and often firms preferred to negotiate, rather than to prosecute violations. Many trademark imitators were based in the newly industrializing countries of the time—the United States, Germany, and Japan—and were part of the British export supply chains as licensees, franchisees, or wholesalers. British firms responded to infringements by lobbying governments, appointing local agents to provide intelligence, and collaborating with other firms.

Diversification when it hurts? The joint distributions of real estate and equity markets

Much of the literature on the construction of mixed asset portfolios and the case for property as a risk diversifier rests on correlations measured over the whole of a given time series. Recent developments in finance, however, focuses on dependence in the tails of the distribution. Does property offer diversification from equity markets when it is most needed - when equity returns are poor. The paper uses an empirical copula approach to test tail dependence between property and equity for the UK and for a global portfolio. Results show strong tail dependence: in the UK, the dependence in the lower tail is stronger than in the upper tail, casting doubt on the defensive properties of real estate stocks.

Stochastic volatility jump-diffusions for European equity index dynamics

Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump-diffusion framework.