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作者：Gur, Yonatan; Iancu, Dan; Warnes, Xavier
作者单位：Stanford University; INSEAD Business School
摘要：Many operational settings share the following three features: (i) a centralized planning system allocates tasks to workers or service providers, (ii) the providers generate value by completing the tasks, and (iii) the completion of tasks influences the providers' welfare. In such cases, the planning system's allocations often entail trade-offs between the service providers' welfare and the total value that is generated (or that accrues to the system itself), and concern arises that allocations...
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作者：Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; Roussellet, Guillaume
作者单位：Institut Polytechnique de Paris; ENSAE Paris; Ecole Polytechnique; University of Lausanne; McGill University
摘要：We propose a discrete-time affine pricing model that simultaneously allows for (i) the presence of systemic entities by departing from the no-jump condition on the factors' conditional distribution, (ii) contagion effects, and (iii) the pricing of credit events. Our affine framework delivers explicit pricing formulas for default-sensitive securities such as bonds and credit default swaps (CDSs). We estimate a euro-area multicountry version of the model and address economic questions related to...
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作者：Cunningham, Chris; Gerardi, Kristopher; Shen, Lily
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Clemson University
摘要：This paper exploits a natural experiment afforded by the fracking boom in Pennsylvania to shed light on the determinants of mortgage default. Looking only at mortgages originated before fracking became viable, and using the underlying geology as a supply shifter, we find that mortgages on homes exposed to shale drilling experience a significant reduction in default risk. This effect is more than four times greater for borrowers who are underwater on their loans. Additional evidence shows that ...
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作者：Coleman, Braiden; Merkley, Kenneth; Miller, Brian; Pacelli, Joseph
作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington
摘要：The Securities and Exchange Commission (SEC) has a long-standing policy to keep formal investigations confidential. In this study, we examine the extent to which compliance with the Freedom of Information Act (FOIA) provides investors with information about ongoing SEC investigations. We exploit a unique empirical setting whereby the SEC denies FOIA requests because of ongoing enforcement proceedings (hereafter, exemption denials). We find that exemption denials predict a substantial number of...
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作者：Huang, Shiyang; Yueshen, Bart Zhou
作者单位：University of Hong Kong; INSEAD Business School
摘要：Speed is a salient feature of modern financial markets. This paper studies investors' speed acquisition together with their information acquisition. Speed heterogeneity arises in equilibrium, fragmenting the information aggregation process with a nonmonotone impact on price informativeness. Various competition effects drive speed and information to be either substitutes or complements. The model cautions the possible dysfunction of price discovery: An improving information technology might com...
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作者：Li, Bin
作者单位：University of Oklahoma System; University of Oklahoma - Norman
摘要：Prior literature interprets the weak earnings response coefficient (ERC) of accounting losses as a manifestation either of lack of forward-looking information in losses or of market mispricing of losses. Based on return decomposition theory, I predict that losses contain information not only about future cash flows (i.e., cash flow news) but also, about risk (i.e., expected returns and discount rate news). However, these informational components have offsetting valuation effects, resulting in ...
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作者：Qu, Zhan; Raff, Horst
作者单位：University of Gottingen; University of Kiel; University of Kiel
摘要：This paper shows that decentralized supply chains, in which upstream firms use linear wholesale prices, may experience lower upstream production and downstream sales volatility than vertically integrated supply chains and may be less susceptible to the bullwhip effect by which the variance of upstream production exceeds the variance of downstream sales. The reason is that decentralized supply chains exhibit a price effect, whereby upstream producers raise wholesale prices in the case of positi...
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作者：Fehrler, Sebastian; Janas, Moritz
作者单位：University of Bremen; University of Konstanz
摘要：We study the choice of a principal to either delegate a decision to a group of careerist experts or to consult them individually and keep the decision-making power. Our model predicts a trade-off between information acquisition and information aggregation. On the one hand, the expected benefit from being informed is larger in case the experts are consulted individually. Hence, the experts either acquire the same or a larger amount of information, depending on the cost of information, than in c...
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作者：Del Viva, Luca; Kothari, S. P.; Lambertides, Neophytos; Trigeorgis, Lenos
作者单位：Universitat Ramon Llull; Escuela Superior de Administracion y Direccion de Empresas (ESADE); U.S. Securities & Exchange Commission (SEC); Cyprus University of Technology; University of Cyprus
摘要：This study contributes to our understanding of what accruals capture and how they relate to the distribution of future returns. It examines the past and future growth components of accruals and shows that, whereas past growth is negatively associated with idiosyncratic skewness, future growth is positively associated with it. In addition, although both past and future growth are negatively associated with future returns, the association is more pronounced for past growth when volatility is low...
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作者：Coffman, Katherine B.; Exley, Christine L.; Niederle, Muriel
作者单位：Harvard University; Stanford University; National Bureau of Economic Research
摘要：Although there is ample evidence of discrimination against women in the workplace, it can be difficult to understand what factors contribute to discriminatory behavior. We use an experiment to both document discrimination and unpack its sources. First, we show that, on average, employers prefer to hire male over female workers for male-typed tasks, even when the two workers have identical resumes. Second, and most critically, we use a control condition to identify that this discrimination is n...
