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作者：Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio
作者单位：Universita della Svizzera Italiana; Bocconi University; Bocconi University; University of Turin; University of Geneva; Swiss Finance Institute (SFI)
摘要：Using a new specification of multifactor volatility, we estimate the hidden risk factors spanning S&P 500 index (SPX) implied volatility surfaces and the risk premia of volatility-sensitive payoffs. SPX implied volatility surfaces are well-explained by three dependent state variables reflecting (i) short-and long-term implied volatility risks and (ii) short-term implied skewness risk. The more persistent volatility factor and the skewness factor support a downward sloping term structure of var...
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作者：Hirschey, Nicholas
作者单位：University of London; London Business School
摘要：This study provides evidence that high-frequency traders (HFTs) identify patterns in past trades and orders that allow them to anticipate and trade ahead of other investors' order flow. Specifically, HFTs' aggressive purchases and sales lead those of other investors, and this effect is stronger at times when it is more difficult for non-HFTs to disguise their order flow. Consistent with some HFTs being more skilled or more focused on anticipatory strategies, I show that trades from a subset of...
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作者：Kruger, Samuel; Maturana, Gonzalo
作者单位：University of Texas System; University of Texas Austin; Emory University
摘要：Securitized mortgage appraisals routinely target pre-specified valuations, 45% of purchase loan appraisals exactly equal purchase prices, and appraisals virtually never fall below purchase prices. As a result, appraisals exceed automated valuation model (AVM) valuations 60% of the time and are 5% higher than AVM valuations on average. High appraisals and indicators of appraisal targeting predict loan delinquency and residential mortgage-backed security (RMBS) losses and are priced at the loan ...
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作者：Besbes, Omar; Castro, Francisco; Lobel, Ilan
作者单位：Columbia University; University of California System; University of California Los Angeles; New York University
摘要：We consider the pricing problem faced by a revenue-maximizing platform matching price-sensitive customers to flexible supply units within a geographic area. This can be interpreted as the problem faced in the short term by a ride-hailing platform. We propose a two-dimensional framework in which a platform selects prices for different locations and drivers respond by choosing where to relocate, in equilibrium, based on prices, travel costs, and driver congestion levels. The platform's problem i...
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作者：Gardete, Pedro M.; Guo, Liang
作者单位：Universidade Nova de Lisboa; Chinese University of Hong Kong
摘要：Consumers can decide whether to acquire more information about their valuations prior to purchase. In this paper, we examine pricing and advertising strategies when consumers can engage in prepurchase information acquisition. We show that consumer information acquisition can increase valuation heterogeneity and undermine a firm's ability to extract consumer surplus. As a result, interestingly, a higher product quality can exert a nonmonotonic impact on equilibrium information acquisition, hurt...
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作者：Gopalakrishnan, Sanjith; Granot, Daniel; Granot, Frieda
作者单位：McGill University; University of British Columbia
摘要：Since 2016, Canada's federal government has pledged to factor in upstream emissions during the environmental impact assessment of fossil fuel energy projects. The upstream emissions attributable to a proposed project could be compared against a rejection threshold-a maximum permissible level of emissions-or the firm could be mandated to offset the attributed emissions. We adopt a cooperative game-theoretic model and propose the nucleolus mechanism to apportion upstream emission responsibilitie...
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作者：Chen, Li; Papanastasiou, Yiangos
作者单位：Cornell University; University of California System; University of California Berkeley
摘要：This paper is motivated by the recent emergence of various interference tactics employed by sellers attempting to manipulate social learning. We revisit the classic model of observational social learning and extend it to allow for (i) asymmetric information on product value between the seller and the consumers and (ii) the ability of the seller to seed the observational learning process with a fake purchase, in an attempt to manipulate consumer beliefs. We examine the interaction between socia...
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作者：Donovan, John
作者单位：University of Notre Dame
摘要：I study the role of accounting and financial reporting in entrepreneurial finance by examining whether financial statement disclosure increases capital raised through equity crowdfunding. On average, I find a positive association between financial reporting and capital raised, suggesting that accounting reduces information asymmetry with potential investors. Additionally, the importance of financial reporting in equity crowdfunding varies predictably in the cross-section. Specifically, financi...
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作者：Andreoni, James; Serra-Garcia, Marta
作者单位：University of California System; University of California San Diego; National Bureau of Economic Research; Leibniz Association; Ifo Institut; University of California System; University of California San Diego
摘要：What is the value of pledges if they are often reneged upon? In this paper, we show-both theoretically and experimentally-that pledges can be used to screen donors and to better understand their motives for giving. In return, nonprofit managers can use the information they glean from pledges to better target future charitable giving appeals and interventions to donors, such as expressions of gratitude. In an experiment, we find that offering the option to pledge gifts induces self-selection. I...
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作者：Osadchiy, Nikolay; Schmidt, William; Wu, Jing
作者单位：Emory University; Cornell University; Chinese University of Hong Kong
摘要：We offer a new network perspective on one of the central topics in operations management-the bullwhip effect (BWE). The topic has both practical and scholarly implications. We start with an observation: the variability of orders placed to suppliers is larger than the variability of sales to customers for most firms, yet the aggregate demand variability felt by suppliers upstream does not amplify commensurably. We hypothesize that changes to the supplier's customer base can smooth out its aggre...
