7期

最新文章

• Ambiguity and Probabilistic Information AI翻译
  作者：Dominiak, Adam; Lefort, Jean-Philippe
  作者单位：Virginia Polytechnic Institute & State University; Universite PSL; Universite Paris-Dauphine
  摘要：Experiments detecting ambiguity aversion often rely on the assumption that probabilities are exogenously given for some uncertain events. However, the canonical models that accommodate ambiguity into economic theory, such as the maxmin expected utility (MEU) and Choquet expected utility (CEU) models, are purely subjective. These models do not specify how subjects could incorporate exogenous probabilities into decisions. We study two approaches for embedding exogenous probabilities in the conte...
• Dynamic Pricing of Relocating Resources in Large Networks AI翻译
  作者：Balseiro, Santiago R.; Brown, David B.; Chen, Chen
  作者单位：Columbia University; Duke University; University of Chicago
  摘要：Motivated by applications in shared vehicle systems, we study dynamic pricing of resources that relocate over a network of locations. Customers with private willingness to pay sequentially request to relocate a resource from one location to another, and a revenue-maximizing service provider sets a price for each request. This problem can be formulated as an infinite-horizon stochastic dynamic program, but it is difficult to solve, as optimal pricing policies may depend on the locations of all ...
• Demand-Aware Career Path Recommendations: A Reinforcement Learning Approach AI翻译
  作者：Kokkodis, Marios; Ipeirotis, Panagiotis G.
  作者单位：Boston College; New York University
  摘要：A skill's value depends on dynamic market conditions. To remain marketable, contractors need to keep reskilling themselves continuously. But choosing new skills to learn is an inherently hard task: Contractors have very little information about current and future market conditions, which often results in poor learning choices. Recommendation frameworks could reduce uncertainty in learning choices. However, conventional approaches would likely be inefficient; they would model previous (often po...
• Executive Accountants and the Reliability of Financial Reporting AI翻译
  作者：Rhodes, Adrienne; Russomanno, Dan
  作者单位：University of Iowa; University of Arizona
  摘要：Using hand-collected data from mandatory disclosures of executive officers, we examine financial reporting outcomes associated with delegating significant accounting responsibilities to an executive accountant, not concurrently serving as the chief financial officer or chief executive officer. We find executive accountants are associated with a significant reduction in the likelihood of restatement. Moreover, we find evidence of a positive association between executive accountants and accrual ...
• A Cross-Sectional Machine Learning Approach for Hedge Fund Return Prediction and Selection AI翻译
  作者：Wu, Wenbo; Chen, Jiaqi; Yang, Zhibin (Ben); Tindall, Michael L.
  作者单位：University of Texas System; University of Texas at San Antonio; University of Oregon; Federal Reserve System - USA; Federal Reserve Bank - Dallas
  摘要：We apply four machine learning methods to cross-sectional return prediction for hedge fund selection. We equip the forecast model with a set of idiosyncratic features, which are derived from historical returns of a hedge fund and capture a variety of fund specific information. Evaluating the out-of-sample performance, we find that our forecast method significantly outperforms the four styled Hedge Fund Research indices in almost all situations. Among the four machine learning methods, we find ...
• A Theory of Dissimilarity Between Stochastic Discount Factors AI翻译
  作者：Bakshi, Gurdip; Gao, Xiaohui; Panayotov, George
  作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
  摘要：This paper proposes a measure of dissimilarity between stochastic discount factors (SDFs) in different economies. The SDFs are made comparable using the respective bond prices as the numeraire. The measure is dimensionless, synthesizes features of the risk-neutral moments of excess currency returns, and can be extracted from currency option prices. Linking theory to data, we provide evidence gathered from (i) the cross section of 45 currency option prices, (ii) the time series of currency retu...
• Gatekeeping, Fast and Slow: An Empirical Study of Referral Errors in the Emergency Department AI翻译
  作者：Freeman, Michael; Robinson, Susan; Scholtes, Stefan
  作者单位：INSEAD Business School; University of Cambridge; University of Cambridge
  摘要：Using data from over 300,000 visits to an emergency department (ED), we study the accuracy of gatekeeping decisions-the choices that physicians make regarding patient discharge or admission to the hospital. In our study context, we focus specifically on the effectiveness of a second gatekeeping stage in the ED-a clinical decision unit (CDU). Although only 9.9% of patients in our sample are routed through the CDU, we find that had the unit not been in place during the observation period, the ra...
• Social Learning in the COVID-19 Pandemic: Community Establishments' Closure Decisions Follow Those of Nearby Chain Establishments AI翻译
  作者：de Vaan, Mathijs; Mumtaz, Saqib; Nagaraj, Abhishek; Srivastava, Sameer B.
  作者单位：University of California System; University of California Berkeley
  摘要：As conveners that bring various stakeholders into the same physical space, firms can powerfully influence the course of pandemics such as coronavirus disease 2019. Even when operating under government orders and health guidelines, firms have considerable discretion to keep their establishments open or closed during a pandemic. We examine the role of social learning in the exercise of this discretion at the establishment level. In particular, we evaluate how the closure decisions of chain estab...
• Monitoring with Limited Information AI翻译
  作者：Iancu, Dan Andrei; Trichakis, Nikolaos; Yoon, Do Young
  作者单位：Stanford University; INSEAD Business School; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
  摘要：We consider a system with an evolving state that can be stopped at any time by a decision maker (DM), yielding a state-dependent reward. The DM does not observe the state except for a limited number of monitoring times, which he must choose, in conjunction with a suitable stopping policy, to maximize his reward. Dealing with these types of stopping problems, which arise in a variety of applications from healthcare to finance, often requires excessive amounts of data for calibration purposes an...
• We'll Always Have Paris: Out-of-Country Buyers in the Housing Market AI翻译
  作者：Cvijanovic, Dragana; Spaenjers, Christophe
  作者单位：University of Warwick; Hautes Etudes Commerciales (HEC) Paris
  摘要：Previous research has shown that nonlocal household investors make suboptimal asset selection and market timing decisions. However, in real estate markets, heterogeneity in returns can exist even with identical ex ante investment (timing) choices, given that transaction prices are the outcome of a complex search-and-bargaining process. Analyzing notarial data for the Paris housing market, we find that out-of-country buyers indeed buy at higher prices and resell at substantially lower prices th...