An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

Essays on durable goods consumption and firm innovation

This dissertation comprises three individual chapters. Chapter Two examines how free riding across neighbors influenced the diffusion of color television sets in rural China. Chapter Three tests for asymmetric information between a firm’s management and other investors concerning its patent output. Chapter Four discusses how knowledge stocks influence a patenting firm’s later diversification. Chapter Two documents the existence of a type of network effects—free riding across neighbors—in the consumption of color television sets in rural China, which reduces the propensity of non-owners to purchase. I construct a model of the timing of the purchase of a durable good in the presence of free riding, and test its key implications using household survey data in rural China. Chapter Three tests for asymmetric information between a firm’s management and other investors about its patent output by examining insider trading patterns and stock price changes in R&D intensive firms. It demonstrates that management has considerable information about its patent output beyond what is known to investors. It also shows that the predictive power of insider trading patterns on patent output comes from purchases rather than sales. Chapter Four discusses two sequential channels through which knowledge stocks may influence a firm’s later diversification. One is that firms with more knowledge are more likely to enter a new industry. The other is that firms’ businesses have a better chance of surviving, conditional on being formed. By examining U.S. public patenting firms in manufacturing sectors for 1984-1996, I find that knowledge stocks predict the likelihood of new industry entry when controlling for firm size. However, this predictive power is weakened when diversification effects are included. On the other hand, a survival study of newly established segments shows that initial knowledge stocks have significant positive effects on segment survival, whereas diversification effects are insignificant.

Sales tax enforcement: An empirical analysis of compliance enforcement methodologies and pathologies

Most research on tax evasion has focused on the income tax. Sales tax evasion has been largely ignored and dismissed as immaterial. This paper explored the differences between income tax and sales tax evasion and demonstrated that sales tax enforcement is deserving of and requires the use of different tools to achieve compliance. Specifically, the major enforcement problem with sales tax is not evasion: it is theft perpetrated by companies that act as collection agents for the state. Companies engage in a principal-agent relationship with the state and many retain funds collected as an agent of the state for private use. As such, the act of sales tax theft bears more resemblance to embezzlement than to income tax evasion. It has long been assumed that the sales tax is nearly evasion free, and state revenue departments report voluntary compliance in a manner that perpetuates this myth. Current sales tax compliance enforcement methodologies are similar in form to income tax compliance enforcement methodologies and are based largely on trust. The primary focus is on delinquent filers with a very small percentage of businesses subject to audit. As a result, there is a very large group of noncompliant businesses who file on time and fly below the radar while stealing millions of taxpayer dollars. ^ The author utilized a variety of statistical methods with actual field data derived from operations of the Southern Region Criminal Investigations Unit of the Florida Department of Revenue to evaluate current and proposed sales tax compliance enforcement methodologies in a quasi-experimental, time series research design and to set forth a typology of sales tax evaders. This study showed that current estimates of voluntary compliance in sales tax systems are seriously and significantly overstated and that current enforcement methodologies are inadequate to identify the majority of violators and enforce compliance. Sales tax evasion is modeled using the theory of planned behavior and Cressey’s fraud triangle and it is demonstrated that proactive enforcement activities, characterized by substantial contact with non-delinquent taxpayers, results in superior ability to identify noncompliance and provides a structure through which noncompliant businesses can be rehabilitated.^

Empowering Catering Sales Managers with Pricing Authority

In the hotel business, catering sales managers often encounter potential clients who expect to negotiate for items such as room rental fees, audiovisual charges, and bartending fees. This article addresses both the advantages and disadvantages of empowering sales managers with the authority to reduce or waive these charges. Thus, hoteliers are advised to extend a structured yield management mindset into the hotel’s function-space area.

Sales Promotion in Hotels:A British Perspective

In their article - Sales Promotion In Hotels: A British Perspective - by Francis Buttle, Lecturer, Department of Hotel, Restaurant, and Travel Administration, University of Massachusetts and Ini Akpabio, Property Manager, Trusthouse Forte, Britain, Buttle and Akpabio initially state: “Sales promotion in hotels is in its infancy. Other industries, particularly consumer goods manufacturing, have long recognized the contribution that sales promotion can make to the cost-effective achievement of marketing objectives. Sales promotion activities in hotels have remained largely uncharted. The authors define, identify and classify these hotel sales promotion activities to understand their function and form, and to highlight any scope for improvement.” The authors begin their discussion by attempting to define what the phrase sales promotion [SP] actually means. “The Institute of Sales Promotion regards sales promotions as “adding value, usually of a temporary nature, to a product or service in order to persuade the end user to purchase that particular brand as opposed to a competitive brand,” the authors offer. Williams, however, describes sales promotions more broadly as “short term tactical marketing tools which are used to achieve specific marketing objectives during a defined time period,” Buttle and Akpabio present with attribution. “The most significant difference between these two viewpoints is that Williams does not limit his definition to activities which are targeted at the consumer,” is their educated view. A lot of the discussion is centered on the differences in the collective marketing-promotional mix. “…it is not always easy to definitively categorize promotional activity,” Buttle and Akpabio say. “For example, in personal selling, a sales promotion such as a special bonus offer may be used to close the sale; an advertisement may be sales promotional in character in that it offers discounts.” Are promotion and marketing distinguishable as two separate entities? “…not only may there be conceptual confusion between components of the promotional mix, but there is sometimes a blurring of the boundaries between the elements of the marketing mix,” the authors suggest. “There are several reasons why SP is particularly suitable for use in hotels: seasonality, increasing competitiveness, asset characteristics, cost characteristics, increased use of channel intermediaries, new product launches, and deal proneness.” Buttle and Akpabio offer their insight on each of these segments. The authors also want you to know that SP customer applications are not the only game in town, SP trade applications are just as essential. Bonuses, enhanced commission rates, and vouchers are but a few examples of trade SP. The research for the article was compiled from several sources including, mail surveys, telephone surveys, personal interviews, trade magazines and newspapers; essentially in the U.K.

Effect of Smoke-Free Ordinances on Restaurant and Bar Sales

Peer-reviewed studies that have examined the effect of the enactment of smoke-free ordinances on restaurant and bar sales have uniformly found that the enactment of these ordinances does not decrease restaurant or bar sales, with most studies observing no effect on restaurant revenues.

Developing A Catering Sales Program

A successful catering sales program consists of developing and properly following up on three types of accounts: present, past, and new. Ray Hooks reveals a systematic approach to increasing business in catering sales.

A study to adapt various sales forecasting methods for use by military club managers

The purpose of this study is to adapt and combine the following methods of sales forecasting: Classical Time-Series Decomposition, Operationally Based Data and Judgmental Forecasting for use by military club managers.

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.