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作者：Liu, Qiao; Shen, Qiaowei; Li, Zhenghua; Chen, Shu
作者单位：Peking University; Ant Group
摘要：We use a novel panel with detailed transaction records of more than one million de-identified individuals to study the effect of a large-scale Chinese government-issued digital coupon program on consumer spending. Exploiting a difference-in-differences approach, we find that the digital coupon is highly effective in stimulating consumption. An effective government subsidy of RMB 1 can drive excess spending of RMB 3.4 to RMB 5.8, and the effect persists across multiple coupon issuance waves. In...
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作者：Cao, Jie; Chordia, Tarun; Zhan, Xintong
作者单位：Chinese University of Hong Kong; Emory University; Fudan University
摘要：The idiosyncratic volatility (IVOL) anomaly exhibits strong calendar effects. The negative relation between IVOL and the next-month return obtains mainly in the third week of the month. The IVOL-return relation is generally negative on Mondays and positive on Fridays. However, the positive impact is absent on the third Friday because of selling pressure from stocks delivered at option expiration. This imbalance between the negative and positive returns during the third week of the month has a ...
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作者：Arvanitis, Stelios; Post, Thierry; Topaloglou, Nikolas
作者单位：Athens University of Economics & Business; Nazarbayev University; Athens University of Economics & Business; Athens University of Economics & Business
摘要：A stochastic bound is a portfolio that stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio that comes as close as possible to this ideal. To identify and analyze exact or approximate bounds, feasible approaches to numerical optimization and statistical inference are developed based on linear programming and subsampling. The use of reference sets and stochastic bounds is shown to improve investment...
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作者：Schlag, Christian; Semenischev, Michael; Thimme, Julian
作者单位：Goethe University Frankfurt; Helmholtz Association; Karlsruhe Institute of Technology
摘要：Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected returns by sorting stocks based on the sensitivity of expected returns to these quantities. Models with only one uncertainty-related state variable, like the habit model or the long-run risks model, cannot...
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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, Ningyuan; Li, Anran; Talluri, Kalyan
作者单位：University of Toronto; University Toronto Mississauga; University of Toronto; University of London; London School Economics & Political Science; Imperial College London
摘要：Reviews for products and services written by previous consumers have become an influential input to the purchase decision of customers. Many service businesses monitor the reviews closely for feedback as well as detecting service flaws, and they have become part of the performance review for service managers with rewards tied to improvement in the aggregate rating. Many empirical papers have documented a bias in the aggregate ratings, arising because of customers' inherent self-selection in th...
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作者：Cornwell, Christopher; Schmutte, Ian M.; Scur, Daniela
作者单位：University System of Georgia; University of Georgia; Cornell University
摘要：In an influential study, Bender et al. [Bender S, Bloom N, Card D, Van Reenen J, Wolter S (2018) Management practices, workforce selection, and productivity. J. Labor Econom. 36(S1):S371-S409] document consistent relationships between management practices, productivity, and workforce composition using administrative data from German firms matched to ratings of their practices from the World Management Survey. We replicate and extend their analysis using comparable data from Brazil. The main co...
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作者：Guo, Liang
作者单位：Chinese University of Hong Kong
摘要：Renegotiations and last-minute contracting are prevalent in many vertical relationships. Information transmission between firms and buyers can be imperfect as well. In this paper we present a theory to explicate how early/delayed contracting over wholesale prices, and partial unraveling of private information, can sustain each other endogenously in a channel setting with bilateral monopoly. Should the wholesale price be predetermined, the downstream manufacturer would be compelled to fully dis...
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作者：Zheng, Lingling; Yan, Xuemin (Sterling)
作者单位：Renmin University of China; Lehigh University
摘要：Affiliation with a financial conglomerate may provide hedge funds with superior information about the conglomerate's lending, investment banking, and brokerage clients; such affiliation can also lead to potential conflicts with the other units of the conglomerate and exacerbate the conflict between hedge fund companies and hedge fund investors. We find that affiliated funds significantly underperform unaffiliated funds. A difference-in-difference analysis confirms the negative relation between...
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作者：Chen, Xi; van der Lans, Ralf; Trusov, Michael
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; Hong Kong University of Science & Technology; University System of Maryland; University of Maryland College Park
摘要：This paper presents a structural discrete choice model with social influence for large-scale social networks. The model is based on an incomplete information game and permits individual-specific parameters of consumers. It is challenging to apply this type of models to real-life scenarios for two reasons: (1) The computation of the Bayesian-Nash equilibrium is highly demanding; and (2) the identification of social influence requires the use of excluded variables that are oftentimes unavailable...
