Time-Varying Liquidity and Momentum Profits

A basic intuition is that arbitrage is easier when markets are most liquid. Surprisingly, we find that momentum profits are markedly larger in liquid market states. This finding is not explained by variation in liquidity risk, time-varying exposure to risk factors, or changes in macroeconomic condition, cross-sectional return dispersion, and investor sentiment. The predictive performance of aggregate market illiquidity for momentum profits uniformly exceed that of market return and market volatility states. While momentum strategies are unconditionally unprofitable in US, Japan, and Eurozone countries in the last decade, they are substantial following liquid market states.

The Impacts of Variety on the Costs and Profits of a Hotel Chain’s Properties

In the hotel industry, undistributed operating expenses represent a significant portion of the operating costs for a hotel. Exactly how most of these expenses arise is not well understood. Using data from more than 40 hotels operated by a major chain, the authors examine the links between the variety of a hotel’s products and customers and its undistributed operating expenses and revenues. Their findings show that undistributed operating expenses are related to the extent of the property’s business and product-services mix. The results suggest that although increasing a property's product-service mix results in higher undistributed operating expenses, the incremental costs are compensated for by higher revenues. However, increasing business mix while increasing undistributed operating expenses does not result in higher revenues.

Serving More Segments and Offering More Products: What Are the Costs and Where Are the Profits?

Making more money involves more than targeting new customer segments and offering new services.