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作者：Antle, Rick; Bogetoft, Peter
作者单位：Yale University; Copenhagen Business School
摘要：In most organizations, the agent has superior information about the relative costs of different products or activities. This handicaps the principal when the principal seeks to adjust the product mix. Our main conceptual finding is that there is mix stickiness. The agent's superior information about the relative costs of different products or activities leads to an advantage for the status quo; that is, there is inertia (or stickiness) in the mix of products or activities pursued. The historic...
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作者：Feng, Qi; Jia, Justin; Shanthikumar, J. George
作者单位：Purdue University System; Purdue University
摘要：As multisourcing becomes a widely adopted strategy in dynamic procurement planning, firms inevitably source from suppliers with dependent material flows, and such supply dependence, created by common second-tier suppliers or a common economic environment, is often positive. We show that firms can experience significant profit loss when implementing a policy computed based on a model that ignores the dependence among suppliers' stochastic material flows. The profit loss is particularly signific...
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作者：Hsieh, PeiLin; Jarrow, Robert
作者单位：Xiamen University; Xiamen University; Cornell University; Cornell University
摘要：This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options markets. We first construct a static equilibrium model to illustrate the aforementioned phenomenon where risk averse and competitive option market makers quote bid and ask prices to minimize their invent...
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作者：Gaba, Anil; Popescu, Dana G.; Chen, Zhi
作者单位：INSEAD Business School; University of Virginia
摘要：The paper develops a model for combining point forecasts into a predictive distribution for a variable of interest. Our approach allows for point forecasts to be correlated and admits uncertainty on the distribution parameters given the forecasts. Further, it provides an easy way to compute an augmentation factor needed to equate the dispersion of the point forecasts to that of the predictive distribution, which depends on the correlation between the point forecasts and on the number of foreca...
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作者：Augustin, Patrick; Brenner, Menachem; Subrahmanyam, Marti G.
作者单位：McGill University; New York University
摘要：We quantify the pervasiveness of informed trading activity in target companies' equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated, out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market,...
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作者：Fugger, Nicolas; Katok, Elena; Wambach, Achim
作者单位：Leibniz Association; Zentrum fur Europaische Wirtschaftsforschung (ZEW); University of Texas System; University of Texas Dallas
摘要：When complex procurement projects are conducted, it is often not possible to write complete contracts. As a consequence, the relationship between buyer and supplier is important for the success of the project. In this paper we investigate the claim that auctions in procurement can be detrimental for the buyer supplier relationship, which is in line with the observation that reverse auctions are less frequently conducted if projects are complex. A poor relationship can result in a decrease in t...
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作者：Albuquerque, Rui; Koskinen, Yrjo; Zhang, Chendi
作者单位：Boston College; Center for Economic & Policy Research (CEPR); Boston College; University of Calgary; University of Warwick
摘要：This paper presents an industry equilibrium model where firms have a choice to engage in corporate social responsibility (CSR) activities. We model CSR as an investment to increase product differentiation that allows firms to benefit from higher profit margins. The model predicts that CSR decreases systematic risk and increases firm value and that these effects are stronger for firms with high product differentiation. We find supporting evidence for our predictions. We address a potential endo...
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作者：Calluzzo, Paul; Moneta, Fabio; Topaloglu, Selim
作者单位：Queens University - Canada
摘要：This paper studies whether institutional investors trade on 14 well documented stock market anomalies. We show that there is an increase in anomaly-based trading when information about the anomalies is readily available through academic publications and the release of necessary accounting data. This finding is more pronounced among hedge funds and institutions with high turnover, that is, the subset of investors who likely have the abilities and incentives to act on the anomalies. We directly ...
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作者：Iliev, Peter; Vitanova, Svetla
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：The Dodd-Frank Act mandated advisory shareholder votes on executive compensation. To isolate the effect of holding a Say-on-Pay vote we use an exemption provided to a group of firms based on their public float. We find that the regulation increased the level of CEO pay and the fraction of performance-linked pay in the companies that had to comply with the new rule. This increase was larger for CEOs with higher ownership and longer tenure. Moreover, the market reacted negatively to the exemptio...
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作者：Chaudhuri, Shomesh E.; Lo, Andrew W.
