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作者：Dechow, Patricia; Lawrence, Alastair; Luo, Mei; Stamenov, Ventsislav
作者单位：University of Southern California; University of London; London Business School; Tsinghua University; Troy University System; Troy University
摘要：We examine five summer Olympics and identify stocks that media outlets hype as benefiting from the Olympics (Olympic stocks). There is a seven-year period from the time that a country first learns it has won the Olympic bid to the start of the games (Olympic time period). We predict that the excitement of the Olympics along with the greater media attention impacts the valuation and risk of Olympic stocks. Consistent with this prediction, we show that Olympic stocks earn higher returns than the...
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作者：Balke, Florian; Barth, Andreas; Reichel, Arne; Wahrenburg, Mark
作者单位：Goethe University Frankfurt; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH)
摘要：Using a novel data set comprising bid-ask quotes for foreign exchange swaps from individual dealers, we examine the consequences of the Swiss National Bank's sudden termination of the Swiss franc/euro minimum exchange rate in 2015 on other pegged currencies. Our findings indicate a spillover effect as dealer banks began to reassess the risk associated with unexpected peg terminations, subsequently leading to wider bid-ask spreads for pegged currencies. This highlights that, even in strong econ...
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作者：Adam, Hammaad; He, Pu; Zheng, Fanyin
作者单位：Massachusetts Institute of Technology (MIT); Columbia University
摘要：Random coefficient multinomial logit models are widely used to estimate customer preferences from sales data. However, these estimation models can only allow for products with positive sales; this selection leads to highly biased estimates in long tail markets, that is, markets where many products have zero or low sales. Such markets are increasingly common in areas such as online retail and other online marketplaces. In this paper, we propose a two-stage estimator that uses machine learning t...
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作者：Cheynel, Edwige; Zhou, Frank S.
作者单位：Washington University (WUSTL); University of Pennsylvania
摘要：We estimate an infinite-horizon dynamic oligopoly model of audit firm tenure and misstatements and evaluate a policy counterfactual involving mandatory audit firm rotation. Longer tenure lowers the cost of producing audits, increasing audit quality and reducing audit fees. Thus clients are less likely to misstate and more likely to keep the incumbent audit firm as tenure increases. By reducing the value of retaining audit firms, mandatory rotation leads to large increases in auditor switches, ...
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作者：Jansen, Mark; Pierce, Lamar; Snyder, Jason; Nguyen, Hieu
作者单位：Utah System of Higher Education; University of Utah; Washington University (WUSTL); Foreign Trade University FTU
摘要：This paper shows how convex incentives in vertical contracts between manufacturers and retailers can induce sales behavior with costs to consumers. We examine this problem in the automotive sector, where manufacturers commonly motivate new vehicle sales through dealer incentive programs with large discrete bonuses determined by monthly sales targets. Using subprime car loans from over 3,500 dealerships, we document high default rates on new car loans originated at the end of the month-the peri...
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作者：Kanoria, Yash; Qian, Pengyu
作者单位：Columbia University; Purdue University System; Purdue University
摘要：We study the problem of maximizing payoff generated over a period of time in a general class of closed queueing networks with a finite, fixed number of supply units that circulate in the system. Demand arrives stochastically, and serving a demand unit (customer) causes a supply unit to relocate from the origin to the destination of the customer. The key challenge is to manage the distribution of supply in the network. We consider general controls including customer entry control, pricing, and ...
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作者：Schraeder, Stefanie
作者单位：University of Vienna
摘要：In a world of increasingly extensive information, rational investors can make better decisions. However, reinforcement-oriented investors are also more likely to observe preferred signals close to their own perception. A focus on these signals distorts the perceived aggregate signal in the direction of the prior estimate. This reduces belief adaptation. Hence, the empirically well-documented selective exposure/reinforcement theory reduces the positive impact of greater information availability...
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作者：Fermand, Elyas; Kuhnen, Camelia M.; Li, Geng; Ben-David, Itzhak
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve System Board of Governors; University System of Ohio; Ohio State University
摘要：We examine the uncertainty in households' expectations regarding macroeconomic outcomes, namely inflation and the rate of nationwide home price growth. We document that people extrapolate from the instability of their personal and local environment when assessing the future volatility of these macroeconomic variables. Consequently, there are within-person spillovers in subjective uncertainty regarding different economic outcomes. This extrapolative behavior is more pronounced among lower-numer...
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作者：Berenguer, Gemma; Haskell, William B.; Li, Lei
作者单位：Universidad Carlos III de Madrid; Purdue University System; Purdue University; Hong Kong Polytechnic University
摘要：Some nonprofit organizations (NPOs) manage a complex workforce composed of a mix of volunteers, part-time workers, and full-time workers. We study the NPO's finite-horizon staffing problem to determine the optimal initial staff planning decisions and per period optimal hiring and assignment decisions given a budget, capacity constraints, and an uncertain supply of volunteers and part-time workers. Our main goal is to solve this problem in a way that is effective and easy to implement while obt...
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作者：Li, Zhibing; Liu, Laura Xiaolei; Liu, Xiaoyu; Wei, K. C. John
作者单位：University of International Business & Economics; Peking University; Hong Kong Polytechnic University
摘要：We replicate 469 anomaly variables similar to those studied by Hou et al. (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low quintile raw return spreads. Further adjusting risk increases the failure rate slightly to 84.22% based on CAPM alphas and 86.99% based on Fama-French three-factor alphas. We show that the conventional procedure us...
