2019

最新文章

• Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns AI翻译
  作者：Bakshi, Gurdip; Gao, Xiaohui; Rossi, Alberto G.
  作者单位：University System of Maryland; University of Maryland College Park
  摘要：We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide an economic interpretation, we show that innovations in global equity volatility can price portfolios formed on carry, while innovations in a commodity-based measure of speculative activity can price po...
• Complementarity of Signals in Early-Stage Equity Investment Decisions: Evidence from a Randomized Field Experiment AI翻译
  作者：Bapna, Sofia
  作者单位：University of Minnesota System; University of Minnesota Twin Cities
  摘要：This study employs a randomized field experiment to causally identify what type of signal is likely to complement another signal in the context of financing technology ventures. The study examines the effect of product certification by expert intermediaries, prominent customers, and social proof (that is, others' interest in investing in a venture) on interest in investing. These three signals are primarily signals of a venture's product, market, and investment characteristics, respectively. T...
• Risk Analysis for Large Pools of Loans AI翻译
  作者：Sirignano, Justin; Giesecke, Kay
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
  摘要：Financial institutions, government-sponsored enterprises, and asset-backed security investors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, and auto, student, and business loans. Because of the size of the pools, the measurement of these exposures is computationally expensive. This paper develops and tests efficient numerical methods for the analysis of large pools of loans as well as asset-backed securities backed b...
• Coordination Is Hard: Electronic Auction Mechanisms for Increased Efficiency in Transportation Logistics AI翻译
  作者：Karaenke, Paul; Bichler, Martin; Minner, Stefan
  作者单位：Technical University of Munich; Technical University of Munich
  摘要：The lack of coordination among carriers leads to substantial inefficiencies in logistics. Such coordination problems constitute fundamental problems in supply chain management for their computational and strategic complexity. We consider the problem of slot booking by independent carriers at several warehouses and investigate recent developments in the design of electronic market mechanisms promising to address both types of complexity. Relax-and-round mechanisms describe a class of approximat...
• Multitasking and Subjective Performance Evaluations: Theory and Evidence from a Field Experiment in a Bank AI翻译
  作者：Manthei, Kathrin; Sliwka, Dirk
  作者单位：IZA Institute Labor Economics; University of Cologne; Leibniz Association; Ifo Institut
  摘要：We study the incentive effects of granting supervisors access to objective performance information when agents work on multiple tasks. We first analyze a formal model showing that incentives are lower powered when supervisors have no access to objective measures but assess performance subjectively by gathering information. This incentive loss is more pronounced when the span of control is larger and incentives are distorted toward more profitable tasks. We then investigate a field experiment c...
• Financing Capacity with Stealing and Shirking AI翻译
  作者：de Vericourt, Francis; Gromb, Denis
  作者单位：European School of Management & Technology; Hautes Etudes Commerciales (HEC) Paris
  摘要：We study a firm's capacity choice under demand uncertainty given that it must finance this investment externally. Sharing profits with investors causes governance problems affecting both capacity and demand: the firm may steal capital, which reduces effective capacity, and shirk on market development, which reduces demand. We adopt an optimal contracting approach whereby the firm optimizes among feasible financial claims derived endogenously. We characterize its optimal financing and capacity ...
• The Red, the Black, and the Plastic: Paying Down Credit Card Debt for Hotels, Not Sofas AI翻译
  作者：Quispe-Torreblanca, Edika G.; Stewart, Neil; Gathergood, John; Loewenstein, George
  作者单位：University of Warwick; University of Warwick; University of Nottingham; Carnegie Mellon University
  摘要：Using transaction data from a sample of 1.8 million credit card accounts, we provide the first field test of a major prediction of Prelec and Loewenstein's theory of mental accounting: that consumers will pay off expenditure on transient forms of consumption more quickly than expenditure on durables. According to the theory, this is because the pain of paying can be offset by the future anticipated pleasure of consumption only when money is spent on consumption that endures over time. Consiste...
• Data-Driven Patient Scheduling in Emergency Departments: A Hybrid Robust-Stochastic Approach AI翻译
  作者：He, Shuangchi; Sim, Melvyn; Zhang, Meilin
  作者单位：National University of Singapore; National University of Singapore; Singapore University of Social Sciences (SUSS)
  摘要：Emergency care necessitates adequate and timely treatment, which has unfortunately been compromised by crowding in many emergency departments (EDs). To address this issue, we study patient scheduling in EDs so that mandatory targets imposed on each patient's door-to-provider time and length of stay can be collectively met with the largest probability. Exploiting patient flow data from the ED, we propose a hybrid robustst-ochastic approach to formulating the patient scheduling problem, which al...
• Trade Relationships, Indirect Economic Links, and Mergers AI翻译
  作者：Harford, Jarrad; Schonlau, Robert; Stanfield, Jared
  作者单位：University of Washington; University of Washington Seattle; University System of Ohio; Miami University; University of New South Wales Sydney
  摘要：The economic links between firms created by customer and supplier relationships are critical determinants of those firms' values and actions. We demonstrate that significant trade relationships and indirect economic links incrementally explain which firms are more likely to be involved in acquisitions, which pairs of firms are more likely to merge, and which mergers will have the greatest impact, both on value and in motivating follow-on mergers by rivals. Firms with major trade relationships ...
• Algorithmic Bias? An Empirical Study of Apparent Gender-Based Discrimination in the Display of STEM Career Ads AI翻译
  作者：Lambrecht, Anja; Tucker, Catherine
  作者单位：University of London; London Business School; Massachusetts Institute of Technology (MIT)
  摘要：We explore data from a field test of how an algorithm delivered ads promoting job opportunities in the science, technology, engineering and math fields. This ad was explicitly intended to be gender neutral in its delivery. Empirically, however, fewer women saw the ad than men. This happened because younger women are a prized demographic and are more expensive to show ads to. An algorithm that simply optimizes cost-effectiveness in ad delivery will deliver ads that were intended to be gender ne...