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作者：Avramov, Doron; Cheng, Si; Hameed, Allaudeen
作者单位：Reichman University; Hebrew University of Jerusalem; Chinese University of Hong Kong; National University of Singapore
摘要：We propose a new measure of fund investment skill, active fund overpricing (AFO), encapsulating the fund's active share of investments, the direction of fund active bets with regard to mispriced stocks, and the dispersion of mispriced stocks in the fund's investment opportunity set. We find that fund activeness is not sufficient for outperformance: high (low) AFO funds taking active bets on the wrong (right) side of stock mispricing achieve inferior (superior) fund performance. However, high A...
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作者：Cheng, C. S. Agnes; Sun, Weihang; Ye, Kangtao; Zhang, Ning
作者单位：Hong Kong Polytechnic University; Shanghai University of Finance & Economics; Renmin University of China; Queens University - Canada
摘要：We investigate the effect of auditing on promoting exports for private firms in emerging markets. Using a sample of private firms from 125 countries between 2006 and 2015, we show that firms that have their financial statements audited have more exports than firms that do not have their financial statements audited. To infer causality, we employ a regression discontinuity design (RDD). Using the discontinuity around the mandatory financial audit threshold, we find that firms slightly above the...
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作者：Rytchkov, Oleg; Zhong, Xun
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Fordham University
摘要：This paper studies the interplay between information aggregation and p-hacking in the context of predicting stock returns. The standard information-aggregation techniques exacerbate p-hacking by increasing the probability of the type I error. We propose an aggregation technique that is a simple modification of three-pass regression filter/ partial least squares regression with an opposite property: the predictability tests applied to the combined predictor become more conservative in the prese...
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作者：Bracha, Anat
作者单位：Hebrew University of Jerusalem
摘要：Prospect Theory's value function suggests that investors would be risk averse in the gain domain and risk seeking in the loss domain-that is, the reflection effect. However, most of the experimental evidence relies on choice tasks in the gain domain between prospects marked in dollar amounts and considering non-mixed lotteries. There is not much work that examines environments with properties typical in investment decisions where the task is fund allocation involving mixed lotteries with outco...
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作者：Khan, Urooj; Nallareddy, Suresh; Rouen, Ethan
作者单位：Columbia University; Duke University; Harvard University
摘要：We investigate the relation between corporate performance and overall economic growth in the United States. In particular, we focus on the impact of the U.S. corporate tax regime on this relation. Exploiting time-series variation and a tax shock, we document that the relatively higher corporate income tax rate and the tax treatment of foreign earnings of U.S. corporations have contributed to a disconnect between the performance of the corporate sector and the overall economy. Specifically, the...
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作者：Levine, Ross; Lin, Chen; Wang, Zigan
作者单位：University of California System; University of California Berkeley; National Bureau of Economic Research; University of Hong Kong
摘要：Does the predeal geographic overlap of the branches of two banks affect the probability that they merge, postannouncement stock returns, and postmerger performance? We compile information on U.S. bank acquisitions from 1984 through 2016, construct several measures of network overlap, and design and implement a new identification strategy. We find that greater predeal network overlap (1) increases the likelihood that two banks merge; (2) boosts the cumulative abnormal returns of the acquirer, t...
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作者：Diwas, S. K. C.; Staats, Bradley R.; Kouchaki, Maryam; Gino, Francesca
作者单位：Emory University; University of North Carolina; University of North Carolina Chapel Hill; Northwestern University; Harvard University
摘要：How individuals manage, organize, and complete their tasks is central to operations management. Recent research in operations focuses on how under conditions of increasing workload individuals can decrease their service time, up to a point, to complete work more quickly. As the number of tasks increases, however, workers may also manage their workload by a different process-task selection. Drawing on research on workload, individual discretion, and behavioral decision making, we theorize and t...
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作者：Chen, Zhi; Sim, Melvyn; Xiong, Peng
作者单位：City University of Hong Kong; National University of Singapore
摘要：We present a new distributionally robust optimization model called robust stochastic optimization (RSO), which unifies both scenario-tree-based stochastic linear optimization and distributionally robust optimization in a practicable framework that can be solved using the state-of-the-art commercial optimization solvers. We also develop a new algebraic modeling package, Robust Stochastic Optimization Made Easy (RSOME), to facilitate the implementation of RSO models. The model of uncertainty inc...
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作者：Diwas Singh, K. C.
作者单位：Emory University
摘要：This paper studies heuristic thinking and cognitive bias using a natural experiment from the field. The setting for the study is a set of acute care hospitals, where we examine the care process and discharge decisions for individual patients. Determining a patient's suitability for discharge is cognitively taxing, calling for the decision maker to draw on up-to-date clinical expertise and detailed information. We postulate that bounded rationality in decision making can lead the care provider ...
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作者：Hollstein, Fabian; Prokopczuk, Marcel; Simen, Chardin Wese
作者单位：Leibniz University Hannover; University of Reading
摘要：When using high-frequency data, the conditional capital asset pricing model (CAPM) can explain asset-pricing anomalies. Using conditional betas based on daily data, the model works reasonably well for a recent sample period. However, it fails to explain the size anomaly as well as three out of six of the anomaly component excess returns. Using high-frequency betas, the conditional CAPM is able to explain the size, value, and momentum anomalies. We further show that high-frequency betas provide...
