Purpose – The purpose of this paper is to allocate marketing budgets in complex environments, where data are scarce and management judgment is available. In this research, marketing budgets are allocated, to maximize customer equity as a long-term profitability measure....

Purpose – The purpose of this paper is to present the use of Markov chain to predict the behaviour of Australian real estate investment trusts (REITs) that are more highly valued in the areas of environmental, social and governance (ESG). Design/methodology/approach – For the empirical...

This study delves into the impacts of the 2008 global financial crisis (GFC) and the COVID-19 health crisis on U.S. financial indices, exploring the intricate relationship between economic shocks and these indices during downturns. Using Markov switching regression models and control variables,...

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Defaulting on a mortgage represents the ultimate consequence of past decisions to delay payment. While many modeling approaches are available to estimate the probability of default, most if not all require account‐level data. Further, past research has not attempted to estimate the probability...

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data‐generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...