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作者：Wu, Liuren; Tian, Meng
作者单位：City University of New York (CUNY) System; Baruch College (CUNY)
摘要：The stock option-implied volatility skew reflects both the structural risk characteristics of the underlying company and the short-term information flow about the stock price movement. This paper builds a semistructural, cross-sectional option pricing model to separate the structural risk contributions from the information flow. The model identifies two structural risk sources that contribute to the cross-sectional variation of the skew: the company's business cyclicality and its default risk....
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作者：Gong, Shiyang; Li, Qian; Su, Song; Zhang, Juanjuan
作者单位：Beijing Normal University; Beijing Foreign Studies University; Massachusetts Institute of Technology (MIT)
摘要：This paper presents one of the first marketing applications of molecular genetics. We report evidence that salespeople's genetic variants linked to educational attainment predict sales performance. Both genetics and selling effort contribute to sales performance, whereas genetics contribute more than personality traits. We further show that adaptive learning, as captured in salespeople's customer orientation and opportunity recognition skills, may explain the gene -sales relationship. We discu...
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作者：Agarwal, Sumit; Ghosh, Pulak; Ruan, Tianyue; Zhang, Yunqi
作者单位：National University of Singapore; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore; Nankai University
摘要：Cybersecurity breaches pose a substantial concern in the digital era. We investigate how customers respond to multiple unexpected data breaches of their information in India. Difference -in -differences estimates show that digital payments declined by 9% relative to cash payments immediately after an unexpected data breach in a food delivery platform, but the gap disappeared three months later. Customer entry and exit also exhibit weak, short-lived changes. Additional analyses on bank and onli...
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作者：Turcic, Danko; Markou, Panos; Kouvelis, Panos; Corsten, Daniel
作者单位：University of California System; University of California Riverside; University of Virginia; Washington University (WUSTL); IE University
摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher approval, unless otherwise noted. For more information, contact permissions@informs.org. The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness for a particular purpose, or non-infringement. Descriptions of, or references to, produ...
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作者：Bossaerts, Peter; Fattinger, Felix; Rotaru, Kristian; Xu, Kaitong
作者单位：University of Cambridge; Vienna University of Economics & Business; Monash University; Monash University; University of Melbourne
摘要：Emotional involvement is known to be necessary but not sufficient for good decision making in the face of uncertainty. It has been conjectured that emotional engagement in anticipation of risky outcomes constitutes good emotions. We introduce a new methodology to determine whether anticipatory emotional engagement is beneficial in the context of trading in financial markets. We focus on heart rate changes because they occur at a sufficiently high frequency to discern timing relative to events ...
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作者：Akerlof, Robert; Holden, Richard; Rayo, Luis
作者单位：University of Warwick; Centre for Economic Policy Research - UK; University of New South Wales Sydney; Northwestern University
摘要：We propose a monopoly and Stackelberg duopoly model for new economy markets-with a Beckerian S-shaped demand curve at its center-that allows for intermediate degrees of firm focality and consumer heterogeneity. Because of network externalities, firms compete for the dominant market share, rather than the marginal consumer. This leads to a type of limit pricing-from within, rather than from outside the market- where the nondominant firm captures a positive market share that serves as a consolat...
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作者：Kim, Youngsoo; Xu, Yuqian
作者单位：University of Alabama System; University of Alabama Tuscaloosa; University of North Carolina; University of North Carolina Chapel Hill
摘要：Major banks around the world lost nearly $210 billion during the period 2011-2016 due to operational risk events. To mitigate the severe consequences that can arise from such events, the Basel Regulatory Committee has mandated that financial institutions worldwide conduct inspections on operational risk. In light of the importance operational risk and its current regulation in the industry, this paper proposes continuous-time principal-agent model that explores the optimal inspection policy of...
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作者：Boisseau-Sierra, Marion; Chu, Jenny; Rajgopal, Shiva
作者单位：University of Cambridge; Columbia University
摘要：This paper investigates the market consequences of sovereign accounting errors, opening a new area of research on sovereign accounting quality in the accounting literature. Eurostat, a division of the European Commission, provides semiannual assessments of financial reports produced by the member states of the European Union (EU) and issues reservations that detail financial reporting errors. Using a sample of Eurostat reservation issuances across 28 EU countries from 2004 to 2018, we find tha...
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作者：Rohde, Kirsten I. M.; Yu, Xiao
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Vrije Universiteit Amsterdam
摘要：Decisions with risky consequences at multiple points in time are driven not only by risk attitudes and time preferences but also by attitudes toward intertemporal correlation (i.e., the correlation between outcomes at different points in time). This paper proposes a model-free method to measure degrees of intertemporal correlation aversion. We disentangle attitudes toward positive and negative intertemporal correlation, which can differ if expected intertemporal utility is violated. In an expe...
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作者：Mitra, Indrajit; Seo, Taeuk; Xu, Yu
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; University of Michigan System; University of Michigan; University of Delaware
摘要：We establish an observational equivalence between unemployment fluctuations of the Diamond-Mortensen-Pissarides search economy augmented with time varying risk premia and an otherwise identical economy without risk premia but with a time varying value of leisure. This equivalence holds for general risk premia processes and allows us to view the effects of different models of risk premia as operating through a single channel- one that alters the value of leisure. We derive simple expressions fo...
