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作者：Chordia, Tarun; Kurov, Alexander; Muravyev, Dmitriy; Subrahmanyam, Avanidhar
作者单位：Emory University; West Virginia University; Michigan State University; Nanjing University; University of California System; University of California Los Angeles
摘要：Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk...
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作者：Lenkey, Stephen L.
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Using a rational expectations equilibrium framework, I evaluate the effects of a short-sale prohibition in an economy with asymmetrically informed investors who are identical except for their information sets. Relative to an economy in which short selling is permitted, the financial market is less informationally efficient under a short-sale ban even when the ban is not binding. This alters the risk-sharing environment and leads to an increase in information acquisition. Additionally, a short-...
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作者：Gelper, Sarah; van der Lans, Ralf; van Bruggen, Gerrit
作者单位：Eindhoven University of Technology; Hong Kong University of Science & Technology; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Many firms try to leverage consumers' interactions on social platforms as part of their communication strategies. However, information on online social networks only propagates if it receives consumers' attention. This paper proposes a seeding strategy to maximize information propagation while accounting for competition for attention. The theory of exchange networks serves as the framework for identifying the optimal seeding strategy and recommends seeding people that have many friends, who, i...
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作者：Leib, Margarita; Kobis, Nils C.; Francke, Marc; Shalvi, Shaul; Roskes, Marieke
作者单位：University of Amsterdam; Vrije Universiteit Amsterdam
摘要：Precise, compared with round, asking prices lead to counteroffers and final agreements that are closer to the asking price. Consequently, popular advice for sellers is to set precise asking prices. We propose that the advice is useful, but only in a buyer's market, in which buyers counter below the asking price. In a seller's market, in which buyers counter above the asking price, sellers who wish to receive high counteroffers and sell for high prices should set round asking prices. A preregis...
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作者：Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; Schindler, John W.
作者单位：Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve System Board of Governors; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
摘要：We propose a method to extract the risk-neutral distribution of firm-specific stock returns using both options and credit default swaps (CDS). Options and CDS provide information about the central part and the left tail of the distribution, respectively. Taken together, but not in isolation, options and CDS span the intermediate part of the distribution, which is driven by exposure to the risk of large, but not extreme, returns. Through a series of asset-pricing tests, we show that this interm...
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作者：Alaei, Saeed; Makhdoumi, Ali; Malekian, Azarakhsh
作者单位：Alphabet Inc.; Google Incorporated; Duke University; University of Toronto
摘要：Motivated by applications in online advertising, we consider a class of maximization problems where the objective is a function of the sequence of actions and the running duration of each action. For these problems, we introduce the concepts of sequence-submodularity and sequence-monotonicity, which extend the notions of submodularity and monotonicity from functions defined over sets to functions defined over sequences. We establish that if the objective function is sequence-submodular and seq...
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作者：Lee, Seokwoo; Rivera, Alejandro
作者单位：University of Michigan System; University of Michigan; University of Texas System; University of Texas Dallas
摘要：We consider the optimal dynamic liquidity management of a financially constrained firm when its existing shareholders are risk neutral but ambiguity averse with respect to the firm's future cash flows. The shareholders' ambiguity aversion generates endogenous time-varying worst-case beliefs that overweight recent cash flow realizations, thereby providing a microeconomic foundation for extrapolation bias. Moreover, shareholders' ambiguity aversion has different implications on firms' liquidity ...
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作者：Dyer, James S.; Smith, James E.
作者单位：University of Texas System; University of Texas Austin; Dartmouth College
摘要：In this paper, we reflect on research in decision analysis that has appeared in Management Science and its impact on decision analysis practice and applications. We consider professional applications of decision analysis in business and government settings as well as everyday conversational applications.
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作者：Ru, Hong; Yang, Endong; Zou, Kunru
作者单位：Nanyang Technological University; University of Macau; Renmin University of China
摘要：We provide evidence of delayed attention and inaction in response to COVID19 in countries that did not experience SARS in 2003. Using cross-country data, we find that individuals in countries that had SARS infections in 2003 searched more intensively for COVID-19-related information on Google in late January 2020, the time of the first known outbreak in Wuhan, China. Early attention to the novel virus, as measured by Google searches, is associated with deeper stock market drops in countries wi...
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作者：Narita, Yusuke
作者单位：Yale University; Yale University
摘要：Many centralized school admissions systems use lotteries to ration limited seats at oversubscribed schools. The resulting random assignment is used by empirical researchers to identify the effects of schools on outcomes like test scores. I first find that the two most popular empirical research designs may not successfully extract a random assignment of applicants to schools. When are the research designs able to overcome this problem? I show the following main results for a class of data-gene...
