Recently, in both marketing theory (academia) and practice (industry), the emphasis in relationship marketing has shifted to long term customer relationship management emphasizing customer retention or loyalty. This study has two main purposes: (1) to investigate the impacts of selected...

This paper demonstrates that rational momentum can exist in an economy where autocorrelated risk and convex dividend policies are present. It then studies the momentum role of firms. When a firm actively creates positive productivity shocks and accordingly increases its production scale, its...

When investors have heterogeneity in horizon due to preferences or constraints, their evaluations on a same company may differ, if the company sequentially compound earnings shocks into future periods. Specifically, short-term investors are willing to pay higher (lower) prices for companies with...

This paper first demonstrates that, in a discrete time framework, rational momentum can exist in an economy that has autocorrelated risk and convex dividend policies. It then uses this framework to examine the momentum role of firms. When firms actively create positive productivity shocks and...

This paper proposes a rational model to explain why asset prices can be different from fundamental values. Following Krep (1982), when uncertainties that affect asset returns accumulate into the future, intermediate trading prices will reveal more information about the states of nature than...

This paper proposes a simple back testing procedure that is shown to dramatically improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Using monthly data with an OLS model it has been difficult to consistently predict...

This article proposes a rational model to demonstrate that firm-specific risks can be priced in the equilibrium and can generate asset pricing anomalies such as momentum. In general, business risks at both the market level and firm level can affect a firm's investment decisions, and a firm...

Consider an economy in which the underlying security returns follow a linear factor model with constant coeffcients. While portfolios that invest in these securities willin general, have a linear factor structure, it will be one with time-varying coeffcients. However, under certain assumptions...

This paper proposes a simple back testing procedure that is shown to dramatically improve a panel data model's ability to produce out of sample forecasts. Here the procedure is used to forecast mutual fund alphas. Using monthly data with an OLS model it has been difficult to consistently predict...

This article develops a Kalman filter model to track dynamic mutual fund factor loadings. It then uses the estimates to analyze whether managers with market-timing ability can be identified ex ante. The primary findings are as follows: (i) Ordinary least squares (OLS) timing models produce false...