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A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional parameters are the drift of the Brownian motion and the(More)
Three processes re°ecting persistence of volatility are initially formulated by evaluating three L ¶ evy processes at a time change given by the integral of a mean reverting square root process. The model for the mean reverting time change is then generalized to include Non-Gaussian models that are solutions to OU (Ornstein-Uhlenbeck) equations driven by(More)
  • Robert H Smith, Debora Viana Thompson, Rebecca W Hamilton, Roland T Rust
  • 2005
and the anonymous JMR and MSI reviewers for their helpful comments on previous drafts of this article. They also appreciate the suggestions of participants at the 2004 Frontiers in Services Conference and the assistance of Saurabh Jain in building the computerized experiment. As technology advances, it becomes more feasible to load products with a large(More)
We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization. Our approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated °oors which expected payo®s must exceed in(More)
  • Claes Fornell, Sunil Mithas, Forrest V Morgeson Iii, M S Krishnan, Forrest V Morgeson, M S Krishnan +9 others
  • 2005
Do investments in customer satisfaction lead to excess returns? If so, are these returns associated with higher stock market risk? The empirical evidence presented in this article suggests that the answer to the first question is yes, but equally remarkable, the answer to the second question is no, suggesting that satisfied customers are economic assets(More)
  • Sunil Mithas, M S Krishnan, Claes Fornell, Robert H Smith, M S Krishnan, Michael R +8 others
  • 2005
This research evaluates the effect of customer relationship management (CRM) on customer knowledge and customer satisfaction. An analysis of archival data for a cross-section of U.S. firms shows that the use of CRM applications is positively associated with improved customer knowledge and improved customer satisfaction. This article also shows that gains in(More)
Technology enables a firm to produce a granular record of every touchpoint consumers make in their online purchase journey before they convert at the firm's website. However, firms still depend on aggregate measures to guide their marketing investments in multiple online channels (e.g., display, paid search, referral, e-mail). This article introduces a(More)
I n channel structures characterized by a powerful retailer (e.g., Wal-Mart, Home Depot), the dominant retailer's acceptance of a manufacturer's new product often determines the success of the new offering. Focusing on a manufacturer in such a market, we develop an approach to positioning and pricing a new product that directly incorporates the retailer's(More)
This paper examines the role of experts in an online crowdfunding market. Using a novel data set on individual investments in a crowdfunding market for mobile applications, we investigate whether early investments serve as signals of quality for later investors, and if the value of these signals differs depending on the identity of early investors. We find(More)