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作者：Cadman, Brian; Ferracuti, Elia
作者单位：Utah System of Higher Education; University of Utah; Duke University
摘要：We investigate the relation between the usefulness of earnings and firm cost structure. We document that the usefulness of earnings to external users decreases in the degree of operating leverage, which measures the proportion of fixed to variable costs, and that this decline extends at least partially from the relation between the degree of operating leverage and two earnings properties: aggressive revenue recognition to meet an earnings target and earnings volatility. Our results illustrate ...
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作者：Jansen, Mark; Nguyen, Hieu Quang; Shams, Amin
作者单位：Utah System of Higher Education; University of Utah; Macquarie University; University System of Ohio; Ohio State University
摘要：Using a randomized experiment in auto lending, we find that algorithmic underwriting outperforms the human underwriting process, resulting in 10.2% higher loan profits and 6.8% lower default rates. The human and machine underwriters show similar performance for low-risk, less complex loans. However, the performance of human underwritten loans largely declines for riskier and more complex loans, whereas the machine performance stays relatively stable across various risk dimensions and loan char...
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作者：Bosch-Rosa, Ciril; Gietl, Daniel; Heinemann, Frank
作者单位：Technical University of Berlin
摘要：This paper investigates whether limited liability and moral hazard affect risk taking through motivated beliefs. On the one hand, limited liability encourages investors to take excessive risks. On the other, excessive risk taking makes it hard for investors to maintain a positive self-image when moral hazard is present. Using a novel experimental design, we show that subjects form motivated beliefs to self -justify their excessive risk taking. For the same investment opportunity, subjects inve...
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作者：Mao, Weichao; Zhang, Kaiqing; Zhu, Ruihao; Simchi-Levi, David; Basar, Tamer
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Illinois System; University of Illinois Urbana-Champaign; University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Massachusetts Institute of Technology (MIT)
摘要：We consider model-free reinforcement learning (RL) in nonstationary Markov decision processes. Both the reward functions and the state transition functions are allowed to vary arbitrarily over time as long as their cumulative variations do not exceed certain variation budgets. We propose Restarted Q-Learning with Upper Confidence Bounds (RestartQ-UCB), the first model-free algorithm for nonstationary RL, and show that it outperforms existing solutions in terms of dynamic regret. Specifically, ...
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作者：Bertomeu, Jeremy; Cheynel, Edwige; Liao, Yifei; Milone, Mario
作者单位：Washington University (WUSTL); University of California System; University of California Irvine; University of California System; University of California San Diego
摘要：This study proposes an approach to measure conservatism using machine learning techniques that are not constrained by functional form restrictions. We extend the differential timeliness model to allow for observable characteristics related to conservatism to follow nonlinear relationships. By developing machine learning measures of conservatism, we draw attention to potential benefits and drawbacks and show how its insights complement conventional measures. Our broader goal is to investigate t...
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作者：Andreicovici, Ionela; Bormann, Sara; Hombach, Katharina
作者单位：Frankfurt School Finance & Management; Goethe University Frankfurt
摘要：We examine the effect of trade secret protection laws on internal information integration (i.e., the extent to which economic agents are provided with access to decisionrelevant information from other economic agents within a firm). We argue that stronger trade secret protection laws increase firms' internal information integration because they reduce the proprietary costs of information leakage. To test our prediction, we measure a firm's internal information integration by the share of its s...
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作者：Chen, Zhuo; Lu, Andrea; Zhu, Xiaoquan
作者单位：Tsinghua University; University of Melbourne; University of International Business & Economics
摘要：Hedge funds with larger macroeconomic-risk betas do not earn higher returns, in contrast to the theoretically predicted risk-return trade-off. Meanwhile, high macrobeta funds deliver higher returns than low macro-beta funds following a low-sentiment period, whereas the risk-return relation is flat following a high-sentiment period. We show that the sophisticated management of hedge funds explains this pattern. The relation between funds' macro-risk betas and the timing abilities/investor flows...
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作者：Davis, Andrew M.; Hyndman, Kyle
作者单位：Cornell University; University of Texas System; University of Texas Dallas
摘要：We investigate a bargaining setting between an informed player, who has private information, and an uninformed player. The informed player has the option to truthfully disclose private information in two unique environments. In the first environment, the informed player is randomly matched with an uninformed player and, after matching, can voluntarily disclose private information prior to a negotiation taking place. In the second environment, the informed player can voluntarily disclose privat...
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作者：Li, Mengling; Riyantob, Yohanes E.
作者单位：Xiamen University; Nanyang Technological University
摘要：This paper examines the incentive to register for deceased organ donation under alternative organ allocation priority rules, which may prioritize registered donors and/or patients with higher valuations for organ transplantation. Specifically, the donor priority rule grants higher priority on the organ waiting list to those who have previously registered as donors. The dual -incentive priority rules allocate organs based on donor status, followed by individual valuations within the same donor ...
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作者：Aretz, Kevin; Gazi, Adnan
作者单位：University of Manchester; Alliance Manchester Business School; University of Liverpool
摘要：We study the asset pricing implications of being able to optimally early exercise plain vanilla puts, contrasting expected raw and delta -hedged returns across equivalent American and European puts. Our theory suggests that American puts yield less negative raw but more negative delta -hedged expected returns than equivalent European puts. The raw (delta -hedged) spread widens with a higher early exercise probability as induced through, for example, moneyness, time to maturity, and underlying ...
