The service industry has become increasingly competitive. This dissertation addresses a number of outstanding and fundamental questions of competitions in service operations and supply chains. The challenges are characterization of the equilibrium behaviors, estimating the impact of firms' interactions, and designing of efficient market mechanisms. The first chapter of this dissertation considers price competition models for oligopolistic markets, in which the consumer reacts to relative rather than absolute prices, where the relative price is defined as the difference between the absolute price and a given reference value. Such settings arise, for example, when the full retail price earned by the ``retailer" is reduced by virtue of a third party offering a subsidy or a rebate or in prospect theoretical models in which customers establish a reference price and base their choices on the differentials with respect to the reference price. When choosing among the various competing options, the consumer trades off the net price paid with various other product or service attributes, as in standard price competition models. The reference price may be exogenously specified and pre-announced to the competing firms. Alternatively, it may be endogenously determined, as a function of the set of absolute prices selected by the competing firms, for example the lowest or the second lowest price. We characterize the equilibrium behavior under a general reference value scheme of the above type; this in a base model, where we assume that the consumer choice model is of the general MultiNomialLogit (MNL) type. We also derive comparison results for the price equilibria that arise under alternative subsidy schemes. These comparisons have important implications for the design of subsidy schemes. The second chapter applies the results of the first chapter to the Medicare insurance market, both in terms of its existing structure, as well as in terms of various proposals to redesign the program. Based on an oligopoly price competition model tailored towards this market, and actual county-by-county data for the year 2010, we estimate the impact such reforms would have on the plans' market shares, equilibrium premia, the government's cost, and the out-of-pocket expenses of the beneficiaries. We employ two different methodologies to derive the parameters in the county-by-county competition models: (i) a calibration model, and (ii) parameter distributions obtained from models estimated in Curto et al. (2015). The predicted impacts on the above performance measures are remarkably consistent across the two methodologies and reveal, for example, that the government cost would decrease by 8% if the traditional fee-for-service(FFS) plans are kept out of competitive bidding process and by 16.5%-21% if they are part of the process. The third chapter studies a class of buy procurement mechanisms, framework agreements (FAs), that are commonly used by buying agencies around the world to satisfy demand that arises over a certain time horizon. We are one of the first in the literature that provides a formal understanding of FAs, with a particular focus on the cost uncertainty faced by bidders over the FA time horizon. We introduce a model that generalizes standard auction models to include this salient feature of FAs; we analyze this model theoretically and numerically. First, we show that FAs are subject to a sort of winner's curse that in equilibrium induces higher expected buying prices relative to running first-price auctions as needs arise. Then, our results provide concrete design recommendations that alleviate this issue and decrease buying prices in FAs, highlighting the importance of (i) monitoring the price charged at the open market by the FA winner and using it to bound the buying price; (ii) investing in implementing price indexes for the random part of suppliers' costs; and (iii) allowing suppliers the flexibility to reduce their prices to compete with the open market throughout the selling period. These prescriptions are already being used by the Chilean government procurement agency that buys US$2 billion worth of contracts every year using FAs. The fourth chapter considers the preference of contractual forms in supply chains. The supply chain contracting literature has focused on incentive contracts designed to align supply chain members' individual interests. A key finding of this literature is that members' preferences for contractual forms are often at odds: the upstream supplier prefers more complex contracts that can coordinate the supply chain; however, the downstream retailer prefers the wholesale price--only contract because it leaves more surplus (than a coordinating contract) that the retailer can get. This chapter addresses the following question: under what circumstances do suppliers and retailers prefer the same contractual form? We study supply chain members' preference for contractual forms in three different competitive settings in which multiple supply chains compete to sell substitutable products to the same market. Our analysis suggests that both upstream and downstream sides of the supply chains may prefer the same ``quantity discount'' contract, thereby eliminating the conflicts of interest that otherwise typify contracting situations. More interesting still is that both sides may also prefer the wholesale price--only contract, which offers a theoretical explanation to why the simple inefficient contract is widely adopted in supply chain transactions.

Chen Haiqiang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 33-35). / Abstracts in English and Chinese. / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- The Model --- p.4 / Chapter 3. --- Least Squares Estimations --- p.6 / Chapter 4. --- Inference --- p.7 / Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7 / Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13 / Chapter 5. --- Modeling --- p.16 / Chapter 5.1 --- Generic Consistency of the Threshold Estimators under specification errors --- p.17 / Chapter 5.2 --- Modeling Procedure --- p.20 / Chapter 6. --- Monte Carlo Simulations --- p.21 / Chapter 7. --- Empirical Application in the Financial Market --- p.24 / Chapter 7.1 --- Data Description --- p.26 / Chapter 7.2 --- Estimated Results --- p.26 / Chapter 8. --- Conclusion --- p.30 / References --- p.33 / Appendix 1: Proof of theorem1 --- p.36 / Appendix 2: Proof of theorem2 --- p.39 / Appendix 3: Proof of theorem3 --- p.43 / List of Graph --- p.49

This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this

This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this

In this thesis, we present three works on queues. In chapter 1, we analyze two non-work-conserving variations of the M/G/1 preemptive LIFO queue, focusing on deriving expressions for the limiting distribution of workload and related quantities. In the first model, preempted customers return to the front of the queue with a new service time, while in the second, they return with their original service time. We use queueing theory methods such as the Rate Conservation Law, PASTA, regenerative process theory and Little's Law. Our results include stability and heavy-traffic limits, as well as tail asymptotics for stationary workload. In chapter 2, we analyze a queueing model with price-sensitive customers, where the service provider aims to maximize revenue and minimize the average queue length. Customers arrive according to a Poisson process, join the queue if their willingness-to-pay exceeds the offered price, and are served in a first-in first-out manner with exponential service times. Our model is applicable to cloud computing, make-to-order manufacturing, and food delivery. We provide performance guarantees for a class of static pricing policies that can achieve a constant fraction of the optimal revenue with a small increase in expected queue length. We present results for the single-server, multi-server, and multi-class cases and provide numerical findings to demonstrate the empirical performance of our policies. In chapter 3, we analyze the Adaptive Non-deterministic Transmission Policy (ANTP), a technique addressing the Massive Access Problem (MAP) in telecommunications, which involves delaying packets at the points of origin to reduce congestion. We frame these delays as time spent at a "cafe" before proceeding to the service facility. We present sample-path results, giving conditions under which ANTP does not change the total sojourn time of packets, and results under a general stochastic framework, focusing on stability and constructing proper stationary versions of the model. We prove Harris recurrence of an underlying Markov process and find positive recurrent regeneration points under i.i.d. assumptions.

Mehra and Prescott's (1985) equity premium puzzle has stirred continued debate on just why the average return on equity has been so high relative to the risk-free rate. Recent work by Backus, Gregory, and Zin (1989), Knez and Snow (1992), and Trainor (1992) have also documented a liquidity premium puzzle. In addition, Fama and French (1992) have found that beta has no explanatory power in explaining an asset's excess return. These studies point out that current financial models are unable to explain even the most basic premise that assets with greater risk have higher returns. The question that now arises is why are these financial models failing to explain excess returns? One obvious answer to this question which has been completely ignored is that the proxy being used to define risk is wrong. It is the contention of this proposal that investors are concerned about buying into an asset and subsequently experiencing a sequence of below average or negative returns. Under this premise, using the variance of returns as a measure of risk is inadequate and a new risk measure must be derived. This study demonstrates that measuring the deviation of an investor's wealth level from buying a risky asset in relation to what an investor's wealth level would have been from buying a risk-free asset discerns both the deviation of returns and the propensity of returns to sequence. It is then shown that sequencing risk and the slope of the term structure are integrally related. Specifically, the steeper the yield curve, the greater sequencing risk will be priced since a negative sequence could result in forced borrowing by investors when rates are high to maintain a constant consumption rate. Empirically, it is shown that measuring an asset's risk by the contribution it makes to a portfolio's propensity to sequence rather than to a portfolio's variance more accurately explains portfolio returns within a CAPM type framework. Additionally, size does not usurp the explanatory power of this new beta. Surprisingly, it is found that the explanatory power of the traditional beta and size are contingent upon the slope of the term structure being fairly flat. The wealth beta seems to be unaffected. The conclusion of the study suggests that current financial models are seriously flawed due to the erroneous definition and mis-measurement of risk. / Ph. D.

This dissertation investigates consumer valuation of car characteristics with the special focus on two non-physical attributes of an automobile such as safety and comfort. Consumer valuation of automobile attributes is of interest to car manufacturers who supply the characteristics, consumers who purchase them, and policy makers who regulate the automobile. This study uses two approaches to accomplish this goal. The first one is the traditional hedonic method which calculates consumer willingness to pay for measurable components of safety and comfort, whereas the second one combines these components into comfort and safety indexes. It is argued in this study that these individual components, which can make a car safer or more comfortable, are evaluated by consumers in the broader context of safety and comfort before the final choice is made. It is also argued that this aggregation can be justified by a high degree of multicollinearity between various car attributes which has been observed in the previous hedonic studies of the automobile market. Included here is also a comprehensive discussion of econometric problems associated with the characteristics approach. The computational part is based on the new and the most extensive data set used in the hedonic literature of the automobile market. The study concludes by presenting the set of price and income elasticities of demand for the safety and comfort related variables. The results of both methods indicate that many car attributes are Giffen goods, which implies a positive relationship between the marginal willingness to pay and quantity purchased. The main reasons for these findings could be attributed to the impact of the government quality standards affecting automobiles and the shortcomings of the hedonic procedure (treatment of nonlinearities). / Ph. D.

The competitive outlook for the U.S. copper industry was seriously questioned in the mid-1980's in light of differential wages, reserve bases, environmental enforcement, and comparable rates of technical dissemination among country producers. These concerns coincided with the displacement of U.S. output by Chilean expansion and ascendancy of the latter to the number one ranking of world producers. Explanations for U.S. competitive decline ranged from the availability of international agency credit lines for competing state-run copper producers to labor-management relations in the U.S. This dissertation examines the timing of Chilean emergence and U.S. response in relation to flexible exchange rates and monetary policy regimes of the 1980's. Previous analyses of world and North American market structure and change focused on market imperfections on the supply side or supply and stock influences in major demand centers. Earlier speculations about Chilean expansion have proved correct, but U.S. capacity displacement appears to be limited. This dissertation examines the effectiveness of earlier models when updated to the 1980's, redefines structure to achieve better fits, and tests the new model with simulations of quantity and price. World monetary policy, debt, and developing country trade policies have changed dramatically since the late 1970's. These changes together with earlier nationalization initiatives have injected significant new questions of commodity price translation and traded versus nontraded goods substitution into analyses of market behavior. The analysis developed and described in this research shows that real exchange rates of specified copper-producing countries are a significant factor in output expansion and market share gains under conditions of stable labor agreements and monetary policy. These components serve to explain how producer share gains such as for Chile were achieved during cyclical low price periods and historically high refined consumer stock conditions. Additional explanatory power is given for U.S. import and export activity in refined copper. Qualifications are given for selected producing countries that are experiencing continued output decline in the wake of Chilean-U.S. competition. The simulation results show an improvement in forecasting ability over previous models for selected country mine production, including Chile, and import-export activity for the U.S. Comparable high quality results are generated for copper price using standard model configuration. Significant errors remain, as in the overestimation of U.S. mine production recovery due to the lack of better measures of production and investment cycles in the primary copper industry. Downsizing of new or rebuilt U.S. capacity through technical shift is also not captured.

經歷十三年風雨，香港樓價再創歷史新高。有云：「禍兮福所倚」，業主得益於財富增長的同時，亦擔心高速增長埋下泡沫爆破的伏線。因樓價高企，年青人置業困難，社會不滿亦日漸升溫。 / 在國際貨幣基金組織出言警告後，香港金融管理局連同財政司相繼推出措施如額外印花稅，以及收緊不同物業種類的按揭上限，希望保持樓市健康及穩定發展。一石激起千重浪，政策推出後輿論不絶，但至今仍未有人以嚴謹的邏輯推論分析新政策的影響。本文以Stein (1995)的模型作藍本，稍作修改，以分析新政對樓價的影響。 / 按照文中模型計算，於當前經濟環境下，新措施確能維持樓市健康及穩定發展。額外印花稅能壓抑樓價時，收緊不同物業種類的按揭上限能保持樓價平穩。理論模型同時指出，兩樣政策都不是萬能丹，政府於調控樓市時應先評估當前經濟基礎，否則有機會事與願違。 / House price in Hong Kong is reaching its historical high. People start to worry a sudden drop of house price as what they had experienced in year 1997. Social disputes emerged and the Hong Kong government has taken several measures in reaction. Policies such as the Multi-down payment constraint by the HKMA and special stamp duty by the Financial Secretary are implemented in response to the soaring house price. The Media and the general public are keen to explore the effects and the consequences of the policies. However, little effort has been done to study the impact of the enacted policy in a systematic way. / This thesis augmented the model developed by Stein (1995) to examine the housing price behavior of Hong Kong. Simulation results justified the government’s policies. SSD helps to lower the house price while multi-down payment policy helps to stabilize the house price. However, for the policies to be effective, the government needs to spend a lot of efforts to examine the underlying economic fundamentals to avoid unintended results. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wong, Long Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2012. / Includes bibliographical references (leaves 53-54). / Abstracts also in Chinese. / Abstract --- p.i / 擇要 --- p.ii / Acknowledgement --- p.iii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Hong Kong’s Post-Tsunami Economic Background --- p.4 / Chapter 3. --- Characteristics of the Hong Kong Residential Property Market --- p.7 / Chapter 3.1. --- Price and Transactions --- p.8 / Chapter 3.2. --- Market Structure --- p.10 / Chapter 3.3. --- Mortgage Financing --- p.11 / Chapter 4. --- Policies Launched --- p.11 / Chapter 4.1. --- Increasing supply --- p.12 / Chapter 4.2. --- Combating speculation --- p.12 / Chapter 4.3. --- Preventing excessive expansion in mortgage lending --- p.13 / Chapter 4.1. --- To enhance the transparency in the market --- p.13 / Chapter 5. --- Literature Review --- p.14 / Chapter 6. --- Choice of Model --- p.17 / Chapter 7. --- The Stein’s Benchmark Case --- p.19 / Chapter 7.1. --- General Form --- p.20 / Chapter 7.2. --- The Log Linear Form Utility --- p.22 / Chapter 8. --- The SSD Case --- p.23 / Chapter 8.1. --- General Form --- p.23 / Chapter 9. --- The Multi-Down Payment Case --- p.25 / Chapter 9.1. --- General Form --- p.25 / Chapter 9.2. --- The Stone-Geary Form log Utility --- p.29 / Chapter 9.3. --- The CES Utility --- p.29 / Chapter 10. --- Simulation and Results --- p.30 / Chapter 10.1. --- Choosing the parameter --- p.30 / Chapter 10.2. --- Results using Log Linear Utility --- p.32 / Chapter 10.2.1. --- Changing the SSD --- p.32 / Chapter 10.2.1. --- Changing the down payment requirement γ --- p.33 / Chapter 10.2.3. --- Changing the threshold in multi-down payment case --- p.35 / Chapter 10.2.4. --- Changing ý --- p.36 / Chapter 10.2.1. --- Changing the fundamental --- p.37 / Chapter 10.3. --- Results using Stone-Geary form Utility --- p.38 / Chapter 10.3.1. --- Changing the degree of necessity --- p.38 / Chapter 10.3.2. --- Changing SSD --- p.39 / Chapter 10.3.3. --- Changing the down payment portion γ --- p.39 / Chapter 10.3.4. --- Changing the down payment portion ý --- p.40 / Chapter 10.3.5. --- Changing the fundamental --- p.41 / Chapter 10.4. --- Results using CES form Utility --- p.41 / Chapter 10.4.1. --- Changing the elasticity of substitution by --- p.42 / Chapter 10.4.2. --- Changing SSD --- p.42 / Chapter 10.4.3. --- Changing the down payment portion --- p.43 / Chapter 10.4.4. --- Changing the down payment portion --- p.44 / Chapter 10.4.5. --- Changing the fundamental --- p.45 / Chapter 10.5. --- Summary of the results and policy implications --- p.45 / Chapter 11. --- Conclusion --- p.48 / Chapter 12. --- Tables and Charts --- p.49 / Chapter 13. --- References --- p.53 / Chapter 14. --- Appendix --- p.54

This thesis is an investigation into the relationship that exists between macroeconomic variables and the pricing of common stock under trending market conditions. By introducing a dichotomous independent variable as a way of distinguishing between periods of rising and falling thereby attaching an additional expected premium to each of five accepted sources of macroeconomic risk for participation in ‘Bear’ markets. 228 observations of the fourteen industry sub-groupings of former TSE 300 were examined separately. The ultimate results were obtained using the Arbitrage Pricing Theory (APT) as the model to obtain factor exposures. The results show that there is no significant relationship between market trend and the pricing of common stock when the APT is applied. The final recommendation is that more research is needed.