Premium Effect Research Articles

Comparative Analysis of Risk Premium and Stock Market Returns in Indonesia: A Case Study of Normal and COVID-19 Pandemic Periods

This research examines the effect of market risk premium (risk premium) on market returns (JCI). In addition, this study aims to see the effect of premium risk on market returns during the COVID-19 Pandemic. The data used in this study is secondary (JCI data and Deposit Interest Rates) for the period January 2010 – September 2023. The method used in this study is the GARCH method (1.1). The results of this study show a positive and significant influence of risk premium on market returns (JCI). During the COVID-19 Pandemic, risk premiums negatively and significantly affected JCI returns or the Indonesian stock market.

Leverage Effect of New-Built Green Spaces on Housing Prices in a Rapidly Urbanizing Chinese City: Regional Disparities, Impact Periodicity, and Park Size

While newly built urban green spaces aim to address environmental concerns, the resulting green gentrification and social inequality caused by escalating property values have become critical topics of urban socio-spatial research. To prevent green initiatives from becoming unaffordable for their intended beneficiaries in rapidly urbanizing cities, it is essential to examine the spatial and temporal relationships between the construction of new green spaces and rising housing prices. This study employs a difference-in-differences methodology to analyze regional disparities, impact periodicity, and the influence of park size on housing prices, using Nanjing, China as a case study. This result reveals that the introduction of new-built parks in Nanjing significantly impacts housing prices within an 800 m radius. The premium effect of these parks is substantially higher in urban core areas compared to suburban locales, demonstrating spatial differentials. Suburban parks temporally exhibit a prolonged lag and a shorter premium impact duration. Moreover, among various park areas, medium-sized parks demonstrate the most pronounced leverage effect, approximately double that of large parks, while small parks do not significantly affect housing prices. To mitigate the exacerbation of premium effects and enhance social justice in green strategies, we advocate prioritizing the development of small parks, particularly in urban core areas, and leveraging the temporal delay in new-built park impacts for urban policy interventions.

Determinants and international transmission of interest rates: Do foreign reserves and sovereign debt matter?

AbstractWe analyze the role of international reserves and sovereign debt in the determination and international transmission of interest rates. We develop a model that describes the money market equilibrium with capital account openness. It predicts that higher levels of international reserves lead to lower interest rates whereas the effect of higher government debt is ambiguous. We then test empirically these predictions on a panel of 128 countries over 1985–2019. We find that: (i) the transmission of U.S. interest rates to domestic interest rates is stronger in emerging market economies (EMEs) than in advanced economies (AEs) for short‐term interest rates (STIR), and vice versa for long‐term interest rates (LTIR); (ii) international reserves help counteract the transmission of the U.S. policy rate on STIR in EMEs; (iii) a higher sovereign debt level is associated with lower interest rates in EMEs (liquidity effect), but higher interest rates in developing economies (risk premium effect).

Impact of high-speed rail on wage premiums for migrant workers in China

The extensive high-speed rail (HSR) network in China has significantly enhanced regional population mobility, yet its impact on the well-being of migrant workers remains underexplored. Utilizing data from the China Migrant Dynamic Survey (CMDS) from 2014 to 2018, this study investigates the influence of HSR on wage premiums for migrant workers and identifies the factors driving these premiums using the non-parametric nearest neighbor matching method. The findings reveal that HSR confers a significant wage premium of 13.1% for migrant workers in cities with HSR infrastructure compared to cities without it. This wage premium effect is particularly pronounced in less developed western China and in cities with larger populations and a higher proportion of tertiary sector economy. The study finds a 10.54% increase in wage premiums for intra-province migrant workers due to HSR, while the effect remains negligible for inter-province migrant workers. Moreover, the wage premium effect is stronger for higher-skilled labor and for migrant workers aged 16 to 45. It is particularly significant for professionals, administrative staff, and workers in the service industry. The HSR wage premium effect is multifaceted, exhibiting both level and growth effects, with the latter intensifying over time after HSR introduction. Overall, the findings suggest that HSR deployment positively influences migrant worker wages by enhancing travel convenience, improving market access, fostering knowledge spillovers, and facilitating industry transfers. However, these impacts vary by location, skill level, and industry.

Tail risk and excess return of mutual funds: loss-premium balance hypothesis

ABSTRACT This paper studies the relationship between tail risk exposure and mutual fund returns using samples from January 2007 to December 2022. The T R jl calculated by Generalized Extreme Value Distribution captures the negative correlation between returns and tail risk, with a one-standard-deviation increase (0.0119) leading to 0.24% decrease in three-factor alpha quarterly. T R jl also captures the nonlinear effect in short term, yet the nonlinearity diminishes due to the reversal of the return-risk exposure curve of equity funds in long term. We propose Loss-Premium Balance Hypothesis, positing that risk loss and premium effect are dominant under different tail risk exposures, respectively.

Geospatial modelling of housing rents from TOD using MGWR and implications on integrated transportation-land use planning

Revealing the effect of transit-oriented development (TOD) on housing rents is critical for supporting transportation financing and sustainable urban development. However, existing research has not thoroughly examined the effects of land use type and TOD type on housing rents, crucially lacking geospatial modelling. This study investigates the spatial effect of TOD on housing rents using multi-scale geographically weighted regression (MGWR) and the relationship of land use type and TOD type to this effect. The results show that MGWR accurately quantifies the spatial effect. Meanwhile, the important TOD variables (integrated transit index, land use entropy, overall walkability) have positive effects on housing rents, which show spatial heterogeneity. Moreover, the premium effect of TOD station areas with a smaller proportion of residential and commercial land and a larger proportion of educational and cultural facilities is higher. Furthermore, in TOD station areas where transportation supply capacity is high but urban development is lagging, land use entropy and overall walkability have a strong influence on housing rents. Based on the study's results, we offer three recommendations for implementing TOD practices into integrated transportation and land use planning. This study renews our understanding of the outcomes of TOD both perspectively and methodologically.

Educational mismatch and mental health: Evidence from China

Education is one of the most important social determinants of mental health. Many studies have shown that overeducation has different and complex correlations with mental health status under different circumstances. However, few studies have compared overeducation and undereducation in the Chinese context to illustrate their different associations with mental health. Our study attempts to evaluate the potential association between educational mismatch and workers' mental health in China by subdividing educational mismatch into overeducation and undereducation. By using the 2020 Chinese Family Panel Survey (CFPS) data, we screened out 7225 valid cross-sectional samples and used an ordered logit model to identify the association between educational mismatch and mental health. The findings show that overeducation is strongly associated with better psychological status, while undereducation is significantly associated with worsening psychological status. The mediating effect test shows that income satisfaction has penalty and premium effects respectively in different contexts. In addition, we found that undereducation was not significantly associated with worse psychological status in the lower job satisfaction and stable employment groups, whereas overeducation was not significantly associated with better psychological status only in precarious employment. Our research provides evidence that developing policies and interventions to improve national education can help improve national health.

Organic Certification, Online Market Access, and Agricultural Product Prices: Evidence from Chinese Apple Farmers

Motivated by the increasing interest in sustainable agriculture and the potential benefits associated with organic certification, this study employs a multidimensional fixed-effects model to analyze data derived from onsite surveys conducted among 681 apple farmers in the Loess Plateau region of China to explore the influence of organic certification on absolute and relative agricultural product prices given online market access. The findings indicated a significant increase in apple prices among farmers who held organic certifications and engaged in online market sales, with prices rising by CNY1.60 per half kilogram. Additionally, this study highlights that the amalgamation of organic certification with online market access significantly enhances agricultural product prices by facilitating better dissemination of market information among farmers. Furthermore, this research addresses a critical gap in the existing literature by clarifying the differential impact of organic certification across distinct farmer demographics and geographical regions. The more pronounced positive impact of organic certification on prices observed among cooperative members and farmers in the low-altitude areas is particularly noteworthy. These results underscore the crucial role of online market access in achieving premium effects and price stability for organically certified products.

Internal migrants, skill complementarity and wage premium for local workers: a micro econometric analysis of Chinese households

China’s rapid urbanization has been driven by large-scale internal migrants, and it is worth exploring the impact of internal migrants on local labor markets. Based on data from China’s population census, population sample survey and urban household survey, this study empirically tests the wage premium effect of internal migrants on local labor, and further investigates the mechanisms of wage premium from skill complementarity, as well as the policy adjustment effect of labor market reforms. The results show that: (1) The wage premium effect originating from migrants is significant, and gradually decreases over time and with the increase of local worker wages. (2) The wage premium effect is more prominent in large cities, mega and super-sized cities, which can be explained by economic agglomeration and division of labor induced by skill complementarities. (3) Labor market-oriented reforms contribute to enhancing the wage premium effect, with marginal effects of 3.71% and 3.64%.

Sustainable Suppliers-to-Consumers’ Sales Mode Selection for Perishable Goods Considering the Blockchain-Based Tracking System

Given the significant product spoilages of perishable goods transported over long distances, they are usually sold from suppliers to consumers through an offline direct channel. Sustainable suppliers can utilize the blockchain-based tracking system (BTS) to reduce product spoilages, enabling the spoilage reduction effect, and offer authentic information, triggering the premium effect. With the advent of e-commerce, they can now opt for an online direct channel, setting the online direct price as either non-different or different from the offline direct price, and have to face challenges in selecting the optimal sales mode. This paper addresses these complexities by developing a mathematical model to construct a sustainable suppliers-to-consumers pricing model, incorporating the BTS, in the perishable goods market. Our research reveals that the decision to adopt the BTS hinges on factors like the spoilage reduction effect, premium effect, production cost, and tag cost, with the premium effect outweighing the spoilage-reduction effect. The necessity of using the BTS grows with extended circulation times, where the BTS significantly reduces spoilages during transportation, fostering sustainable development. While sustainable suppliers may not always bear the tag cost independently, they can adjust their pricing strategies automatically and pass the tag cost to consumers for more profit. The BTS adoption decision does not influence the optimal sales mode selection strategy. The offline direct channel offers the highest profit for suppliers, followed by the Online to Offline (O2O) direct channel with differential pricing, and the O2O direct channel with non-differential pricing yields the lowest profit.

Mispricing and Profitability Premium in the U.S. Stock Market

This paper examines the effect of profitability premium in the U.S. stock market through a variety of profitability measures. The empirical results show that there is a positive profitability premium, which comes mainly from short legs rather than long legs. Firms with high profitability generate significantly higher future stock returns than those with low profitability, and the profitability premium is particularly prominent among firms with large capitalization and high growth. The profitability strategy tends to be a growth strategy for a large stock, and behavioral mispricing fails to explain the phenomenon of the profitability premium in the U.S. stock market.

Global directed technical change model with fiscal and monetary policies, and public debt

We develop an endogenous growth model with North–South interactions, monetary policy, and a multi-dimensional role for fiscal policy. To boost economic performance, the government of the less developed country subsidizes R&D and intermediate goods production. Besides, to account for the effects of excessive public debt, we introduce a negative externality on productivity and a risk premium effect. Our findings reveal that the steady-state growth rate of both economies depends positively on the subsidies in the South and negatively on the public debt’s externality on productivity and the risk premium affecting the indebted economy. Additionally, public debt externalities increase the equilibrium wage inequality, making it more significant in the South. To minimize these effects, both countries can agree to mutualize their debts to overcome the risk premium. Then, the economy’s steady-state growth rate would increase in both countries. Finally, several policy implications were retrieved.

Pengaruh Premi, Pengetahuan Dan Religiusitas Terhadap Keputusan Nasabah Berasuransi Di PT. Asuransi Jiwa Syariah Al-Amin Jambi

This study aims to see the effect of premiums, knowledge and religiosity on insurance customer decisions at PT. Al-Al-Amin Jambi Sharia Life Insurance. This study has independent variables (variables that influence) and dependent variables (variables that are influenced). This type of research is quantitative research. Data collection obtained is by means of a questionnaire (questionnaire). The sample in this study amounted to 61 people. The analysis used is multiple regression analysis. After partial testing, it was concluded that the premium variable had a significant effect on the insurance customer's decision. In addition to the premium factor, there is also a significant influence of knowledge variables on insurance customer decisions. Finally, the religiosity variable has a significant effect on insurance customer decisions. Based on the results of the F test (simultaneous) it can be concluded that the variable premium, knowledge and religiosity together have a significant influence on the decision of insurance customers at PT. Al-Amin Sharia Life Insurance.

Trade liberalization, city size, and urban wage premium: evidence from China’s city and individual micro-data

In the context of trade liberalization and new urbanization, it is important to study how urban openness leads to wage premiums and improvements in income distribution. This paper utilizes micro-data from the Chinese Household Income Project and matching data from 144 cities to investigate the relationship between trade liberalization, urban scale, and urban wage premiums. The results indicate that trade liberalization significantly increases urban wage premiums, which is particularly evident during the early stages of China’s accession to the WTO. However, this effect may fluctuate over time. Surprisingly, in China, the urban scale can increase labor wage income, but it does not magnify the wage premium effect of trade liberalization. Heterogeneity tests based on regions, firms, and income groups suggest that the wage premium effect of trade liberalization is higher in eastern and central region cities than in western region cities, labor wage growth in the service sector is more pronounced than in the industrial sector, and the impact of trade liberalization on wage growth for the middle and lower-income groups is greater than for the high-income group, which helps to narrow income disparities among different groups. These findings are of great policy significance for improving income distribution through labor market liberalization. In this context, they highlight the importance of comprehensive openness and new urbanization in China.

Insurance Sector: A Prerequisite to a Sustainable Economic Growth and Development in Nigeria

The main objective of the study is to examine the effect of Insurance sector on the economic growth and development in Nigeria. The specific objective was to determine the effect of insurance premium, insurance investment and insurance assets on the real gross domestic product and human development index. Ex-post facto research design was utilized in the study. This study sourced secondary data from the Central Bank of Nigeria (CBN) statistical bulletin and United Nations Development Programme, spanning a time frame of 11 years, covering the period of 2012 to 2022. The study’s data were analyzed using the Co integrating regression method . The test of hypotheses conducted with the regression estimates from Co integrating regression showed the following results: Insurance premium has a negative and insignificant effect on the real gross domestic product (p-value = 0.6489); Insurance investment has a negative and insignificant effect on the real gross domestic product (p-value = 0.8909); Insurance assets has a positive and insignificant effect on the real gross domestic product (p-value = 0.0931). Insurance premium has a negative and insignificant effect on HDI (p-value = 0.6622); Insurance investment has a negative and insignificant effect on human development index (p-value = 0.9780); Insurance assets has a positive and significant effect on human development index (p-value = 0.0093).The study recommends that authorities in the insurance sector should review their reform policies and adopt strategies to enhance premium mobilization functions in Nigeria. Additionally, the insurance industry appears to have potential within the Nigerian economy, suggesting that insurance companies should focus their investments on more productive sectors.

Which Index is More Affected by CDS Premium and VIX Index: BIST-30 or Participation-30?

Purpose: This study aims at determining the existence and, if any, the extent of comparative effects of the CDS premium and the VIX index on the BIST-30 and the Participation-30 indices before and during the pandemic. Methodology: The study explores the relationships of the CDS premium and VIX index to the BIST-30 index and the Participation-30 index for two time periods, as pre-pandemic and pandemic. The date range is set as 02.01.2018-10.03.2020 for the pre-pandemic period and as 11.03.2020-31.12.2021 for the pandemic period. Following the Johansen cointegration and ARDL tests employed to detect the long run relationships between the variables, FMOLS regression tests were used to determine the effect sizes. Results: As a result of the cointegration tests, long-term cointegration relationships of both the BIST-30 and the Participation-30 indices with the variables of the CDS premiums and the VIX index were determined before and during the pandemic period. FMOLS regression results posited that the VIX index had greater effect on the Participation 30 index in both periods. Originality and Practical Implications: The fact that the literature review does not reveal the existence of any study providing the comparative effects of the CDS premiums and the VIX index on both the BIST-30 and Participation-30 indices contributes to the originality of this paper.

Network evolution of diffusion in enterprise digitalization and intellectualization transformation: A technology-organization-environment framework perspective.

Enterprise digitalization and intellectualization (EDI) is a crucial aspect of China's modernization process. However, uncertainty in market and business decisions hinders the EDI diffusion process in China. Therefore, this research aims to solve the uncertainty problem of EDI diffusion by examining market demand and government policy coordination. First, we utilize complex network game theory and establish a technology-organization-environment framework for the factors that influence the elements of EDI transformation by combining evidence from existing studies. Second, the network game model is constructed to analyze and optimize the updating rules in the network as a diffusion strategy that enterprises under the uncertain market can adopt. Finally, the impact of adjusting government subsidies and different premiums on the diffusion of EDI transformation strategies is examined. The degree of market diffusion and average revenue of EDI are higher after the optimization of network node strategy updating rules compared to before optimization. Further analysis reveals that only the premium effect of product pricing and inverted U-shaped subsidy support from the government affect the degree of market diffusion and the average revenue of EDI, while the other premium effects are not significant. These findings enrich research related to complex networks and nonlinear dynamic strategies. They also indicate recommendations for government policies to enhance diffusion efficiency and reasonable pricing for enterprises to promote returns.

“Environmental disclosure greenwashing” and corporate value: The premium effect and premium devalue of environmental information

AbstractEnvironmental disclosure is a crucial method for companies to demonstrate their environmental efforts. However, in some institutional contexts, companies may be inclined to “greenwash” their environmental disclosures, strategically seeking social rewards. Anchored on impression management theory, this study delves into the relationship between environmental disclosure and corporate value. The research substantiates the premium effect of environmental information while shedding light on the adverse impact of “environmental disclosure greenwashing” (EDG) on corporate value. Moreover, EDG leads to a further devaluation in the premium effect of environmental information. A more profound analysis reveals that the market trust acts as the mediating mechanism in the premium devaluation effect caused by EDG. Notably, when information user capability and media attention are scrutinized as distinct groups, the impact of EDG displays pronounced heterogeneity. These findings provide a theoretical foundation for verifying the authenticity of corporate environmental disclosures. Additionally, they offer valuable policy insights for rectifying EDG practices and enhancing environmental disclosure mechanisms.

Black Market Exchange Rate and Macroeconomic Performance in Algeria: What Impact?

Excessive control on foreign exchange market undertaken by Algerian government for nearly four decades has led to black market for foreign currencies. As a consequence, two exchange rates (official and black) coexist and operate simultaneously. Despite its negative impact on the Algerian economy, black market exchange rate has not, so far, attracted attention of researchers. The aim of this paper is twofold. First, it attempts to highlight the determinants of the black market exchange rate premium in Algeria over the period 1980- 2016. Second, the impact of such premium on Algerian macroeconomic performance is assessed by focusing on the main macroeconomic indicators, these are namely; economic growth, inflation, foreign direct investment and balance of payment. Our empirical results point out that variables such as money supply, terms of trade, economic growth and real exchange rate affect significantly the black market exchange rate premium. Furthermore, the results reveal a harmful effect of the black market exchange rate premium on the Algerian macroeconomic performance. This effect was captured by using Impulse response functions (IRF) which show the premium’s negative shock on economic growth, foreign direct investment and balance of payment. Inflation was however, positively affected. The same effect was found when a variance analysis was introduced. According to the above mentioned results, this paper contributes to the existing literature on the black market for foreign currencies. As far as policy makers are concerned, the gap between the two rates should be narrowed by means of reducing the demand for foreign currencies or unifying the two rates. Finaly, the phenomenon of black market exchange rate has to be taken into account when drawing monetary and fiscal policies in Algeria.

Dietary Effects of Mycotoxins Adsorbents Mycostop Premium® and Mycostop Duplo® on Piglets Productive Performance and Blood Serum Enzyme Activities

This study aimed to investigate the dietary effects of mycotoxin adsorbents Mycostop Premium® and Mycostop Duplo® on piglets' productive performance and serum enzyme activities. A total of 100 weaned piglets (28 days old) were randomly assigned to five dietary treatment groups (20 piglets in each group) for a duration of 42 days. The dietary treatments included: control group C with no mycotoxin adsorbent; group E1 supplemented with Mycostop Premium® adsorbent in amount of 1kg/t of feed; group E2 supplemented with Mycostop Premium® adsorbent in amount of 2.5kg/t of feed; group E3 supplemented with Mycostop Duplo® adsorbent in amount of 1kg/t of feed; and group E4 supplemented with Mycostop Duplo® adsorbent in amount of 2.5kg/t of feed. All diets were formulated to be isocaloric and isonitrogenous. The results revealed significant improvements in productive performance parameters, including average daily gain (ADG), average daily feed intake (ADFI), and feed conversion ratio (FCR), in piglets fed diets containing mycotoxin adsorbents. Serum enzyme activities were also assessed to gauge the impact of mycotoxin adsorbents on piglets' health. The activities of liver enzymes aspartate transaminase (AST), gamma-glutamyltransferase (GGT), and gut health-related enzymes (amylase and lipase) were evaluated. Piglets consuming diets supplemented with mycotoxin adsorbents exhibited a reduction in the activities of liver enzymes, indicating lower hepatic stress, and an enhancement in the activity of gut health-related enzymes, reflecting improved nutrient digestion and absorption. In conclusion, the inclusion of mycotoxin adsorbents in piglet diets resulted in significant improvements in productive performance and serum enzyme activities.