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作者：Hirshman, Samuel D.; Willen, Alexander
作者单位：Norwegian School of Economics (NHH)
摘要：We isolate the causal effect of changing the riskiness of choices on the gender gap in real world outcomes. We do so by exploiting a national reform to the regrade system of Norwegian universities that generated exogenous variation in the probabilities of the outcome of regrade requests. Using unique individual-level administrative data, we show that both the expected value of a regrade request, as well as the downside risk, increased substantially as a result of the policy. We then show how t...
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作者：Yapar, Ozge; Chick, Stephen E.; Gans, Noah
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; INSEAD Business School; University of Pennsylvania
摘要：Health technology assessments often inform decisions made by public payers, such as the UK's National Health Service, as they negotiate the pricing of companies' new health technologies. A common assessment mechanism compares the incremental costeffectiveness ratio (ICER) of the new health technology, relative to a standard of care, to maximum threshold on the cost per quality-adjusted life year. In much research and practice, these assessments may not distinguish between cost-per-patient and ...
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作者：Huang, Shiyang; Song, Yang; Xiang, Hong
作者单位：University of Hong Kong; University of Washington; University of Washington Seattle; Hong Kong Polytechnic University
摘要：We demonstrate that a broad set of asset pricing factors/anomalies are significantly exposed to noise trader risk, and the noise trader risk is priced in factor premia. We first confirm that mutual funds' flow-induced trading of factors are uninformed, as they generate a large price impact on factor returns, followed by a complete reversal. We then show that asset pricing factors are subject to flow-driven noise trader risk in that expected variation (covariation) of flow-induced noise trading...
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作者：Chabi-Yo, Fousseni; Goncalves, Andrei S.; Loudis, Johnathan A.
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University System of Ohio; Ohio State University; University of Notre Dame
摘要：Prominent factor models are based on tradable factors that do not represent theoretically relevant risks. To address this issue, we develop a factor model that captures the risks to long-term investors present in the intertemporal capital asset pricing model (ICAPM). Empirically, we construct intertemporal risk factors as long-short portfolios based on stock exposures to dividend yield and realized variance. These tradable factors mimic news to long-term expected returns and volatility, and th...
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作者：Wang, Xue; Wei, Mike Mingcheng; Yao, Tao
作者单位：Alibaba Group; State University of New York (SUNY) System; University at Buffalo, SUNY; Shanghai Jiao Tong University
摘要：We propose a minimax concave penalized multiarmed bandit algorithm under the generalized linear model (G-MCP-Bandit) for decision-makers facing high-dimensional data in an online learning and decision-making environment. We demonstrate that in the data-rich regime, the G-MCP-Bandit algorithm attains the optimal cumulative regret in the sample size dimension and a tight bound in the covariate dimension and the significant covariate dimension. In the data-poor regime, the G-MCP-Bandit algorithm ...
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作者：Liu, Lisa Yao
作者单位：Columbia University
摘要：Financial statement audits for public companies require auditors to test the internal controls over the client's information systems that are material to the financial reporting process. Given the increasingly integrated nature of corporate data and control systems, a standard audit may have a positive effect on client firms' other information systems, such as those that help prevent data breaches. In this paper, I provide evidence on whether and how auditors help prevent data breaches. Using ...
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作者：Luo, Chunling; Chen, Piao; Jaillet, Patrick
作者单位：Hangzhou Normal University; Zhejiang University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：In portfolio optimization, the computational complexity of implementing almost stochastic dominance has limited its practical applications. In this study, we introduce an optimization framework aimed at identifying the optimal portfolio that outperforms a specified benchmark under almost second-degree stochastic dominance (ASSD). Our approach involves discretizing the return range and establishing both sufficient and necessary conditions for ASSD. We then propose a three-step iterative procedu...
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作者：Distelhorst, Greg; Stroehle, Judith C.; Yang, Duanyi
作者单位：University of Toronto; University of St Gallen; Cornell University
摘要：Industries and firms have diverse motives for adopting self-regulatory institutions. This research develops and tests propositions about one motive-exploiting opportunities to do business with reputation-sensitive buyers-as distinct from self-regulation to defend against regulatory or activist threats. To study the adoption and effects of selfregulation for reputation-sensitive buyers, we study the SA8000 socially responsible employment certification among large firms in China in the early 200...
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作者：Chu, Leon Yang; Feng, Qi; Shanthikumar, J. George; Shen, Zuo-Jun Max; Wu, Jian
作者单位：Purdue University System; Purdue University; University of Hong Kong; University of Hong Kong
摘要：We study the data-integrated, price-setting newsvendor problem in which the price-demand relationship is described by some parametric model with unknown parameters. We develop the operational data analytics (ODA) formulation of this problem that features a data-integration model and a validation model. The data-integration model consists of a class of functions called the operational statistics. Each operational statistic maps the available data to the ordering decision. The validation model f...
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作者：Shen, Wenqi; Liu, Yan (Lucy); Wang, Yun (Alicia)
作者单位：Virginia Polytechnic Institute & State University; Texas A&M University System; Texas A&M University College Station; Mays Business School; City University of New York (CUNY) System; Baruch College (CUNY)
摘要：Existing research on online communities has primarily demonstrated that users are motivated by social rewards or social incentives such as positive social feedback and enhanced reputation. In contrast, this study examines how social penalties, or social disincentives, including negative social feedback and loss in reputation, influence online users' voluntary contributions in the short and long term. We develop empirical models to investigate reviewers' decisions on whether to contribute (i.e....
