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作者：Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan
作者单位：University of Melbourne; Brandeis University; University of California System; University of California San Diego
摘要：Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such as volatility dynamics and unspanned macro factors. A three-factor model comprising a forward spread, a weighted combination of forward rates, and a macro factor generates notable gains in out-of-sample ...
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作者：Webb, Ryan
作者单位：University of Toronto; University of Toronto
摘要：The standard framework for modeling stochastic choice, the random utility model, is agnostic about the temporal dynamics of the decision process. In contrast, a general class of bounded accumulation models from psychology and neuroscience explicitly relate decision times to stochastic choice behavior. This article demonstrates that a random utility model can be derived from the general class of bounded accumulation models, and characterizes how the resulting distribution of random utility depe...
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作者：Penman, Stephen H.; Yehuda, Nir
作者单位：Columbia University; University of Delaware
摘要：This paper modifies the standard returns-earnings regression in accounting research to show that financial reports convey both cash-flow news and discount-rate (expected-return) news. The paper points to the realization principle, associated as it is with the resolution of risk, as the accounting feature that conveys expected-return news. The modified returns-earnings regressions indicate that the information so conveyed pertains to priced risk. In corroboration, the paper also shows that the ...
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作者：Khan, Urooj; Lo, Alvis K.
作者单位：Columbia University; Boston College
摘要：Bank lending standards vary over time. Periods in which firms find it relatively easy to borrow are followed by periods in which banks scrutinize borrowers more and tighten lending. We predict that changes in lending standards affect the accounting conservatism of bank-dependent firms. Using (i) a natural experiment that leads to certain banks tightening lending standards for plausibly exogenous reasons and (ii) time series variation in economy-wide bank lending standards, we find that borrowe...
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作者：Wu, Lynn; Lou, Bowen; Hitt, Lorin
作者单位：University of Pennsylvania
摘要：Data-analytics technology can accelerate the innovation process by enabling existing knowledge to be identified, accessed, combined, and deployed to address new problem domains. However, like prior advances in information technology, the ability of firms to exploit these opportunities depends on a variety of complementary human capital and organizational capabilities. We focus on whether analytics is more valuable in firms where innovation within a firm has decentralized groups of inventors or...
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作者：Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy
作者单位：Tongji University; Iowa State University
摘要：We study the relation between macroeconomic fundamentals and asset pricing through the lens of a dynamic stochastic general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic variables and extract the time series of four latent fundamental shocks of the model: neutral technology shock, investment-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can ...
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作者：Jago, Arthur S.; Laurin, Kristin
作者单位：Stanford University; University of British Columbia
摘要：Organizations often implement changes that can signal their values. However, the most objectively efficient changes do not necessarily serve as the best signals. Across seven experiments, we investigate how different rates of transition influence people's perceptions of how committed organizations are to the values underlying changes or improvements. We find that slower, less efficient transitions signal greater commitment compared with faster, more efficient transitions that reach otherwise i...
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作者：Rhodes, Andrew; Zhou, Jidong
作者单位：Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Yale University
摘要：A puzzling feature of many retail markets is the coexistence of large multiproduct firms and smaller firms with narrow product ranges. This paper provides a possible explanation for this puzzle, by studying how consumer search frictions influence the structure of retail markets. In our model, single-product firms that supply different products can merge to form a multiproduct firm. Consumers wish to buy multiple products and, due to search frictions, value the one-stop shopping convenience ass...
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作者：Boyabatli, Onur; Nasiry, Javad; Zhou, Yangfang (Helen)
作者单位：Singapore Management University; Hong Kong University of Science & Technology
摘要：This paper examines crop planning decisions in sustainable agriculture-that is, how to allocate farmland among multiple crops in each growing season when the crops have rotation benefits across growing seasons. We consider a farmer who periodically allocates the farmland between two crops in the presence of revenue uncertainty where revenue is stochastically larger and farming cost is lower when a crop is grown on rotated farmland (where the other crop was grown in the previous season). We cha...
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作者：Chang, Eric C.; Lin, Tse-Chun; Luo, Yan; Ren, Jinjuan
作者单位：University of Hong Kong; Fudan University; University of Macau
摘要：We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions, including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association between ex-day returns and adjustment factors. We find that this positive return-factor relation exists for all three types of stock distributions and in both the pre- and post-decimalization periods. Furt...
