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作者：Armstrong, Will J.; Genc, Egemen; Verbeek, Marno
作者单位：Texas Tech University System; Texas Tech University; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：We investigate Morningstar's new qualitative, forward-looking analyst ratings, which reflect independent analysts' expectations of a fund's future performance. We find relatively higher flows to funds receiving higher ratings, suggesting that the average investor values the analyst's subjective views when allocating their wealth. Performance tests show that investors would have earned significantly higher returns over our sample period by investing in funds with the highest analyst conviction....
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作者：Bhat, Gauri; Ryan, Stephen G.; Vyas, Dushyantkumar
作者单位：Southern Methodist University; New York University; University of Toronto; University of Toronto
摘要：Economic policymakers express concern that procyclical lending by banks imperils financial stability. Prior research finds that banks that record timelier loan loss provisions originate more loans during downturns, consistent with loan loss-provision timeliness mitigating loan-origination procyclicality. Motivated by this concern and research, we examine whether banks' credit risk modeling disciplines both their loan loss provisions and loan origination. We identify two forms of credit risk mo...
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作者：Guda, Harish; Subramanian, Upender
作者单位：University of Texas System; University of Texas Dallas
摘要：On-demand platforms (e.g., Uber, Lyft) often rely on independent workers, who are not directly under the platform's control, to be available at the right time and locations to serve consumers at short notice. To manage fluctuating demand across market locations (zones), on-demand platforms share market forecasts with workers to inform them where they should be available, and use surge pricing-wherein the price at a particular zone is temporarily raised above the regular price. We analyze these...
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作者：Marz, Oliver
作者单位：Universite Libre de Bruxelles
摘要：I show that a central result in Acland and Levy [Acland D, Levy MR (2015) Naivete, projection bias, and habit formation in gym attendance. Management Sci. 61(1):146-160] is based on erroneously reported statistical estimates. In an experimental study, the authors provide financial incentives for regular attendance at a gym and report that these incentives induce a habit formation effect, resulting in sustained increased gym attendance after incentives are removed. This habit formation effect i...
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作者：Jagabathula, Srikanth; Rusmevichientong, Paat
作者单位：New York University; University of Southern California
摘要：Customer preferences may not be rational, so we focus on quantifying the limit of rationality (LoR) in choice modeling applications. We define LoR as the cost of approximating the observed choice fractions from a collection of offer sets with those from the best-fitting probability distribution over rankings. Computing LoR is intractable in the worst case. To deal with this challenge, we introduce two new concepts, rational separation and choice graph, through which we reduce the problem to so...
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作者：David, Alexander; Lehar, Alfred
作者单位：University of Calgary
摘要：Interbank financial networks enable banks to share the risks in their assets but potentially also increase systemic spillovers of insolvency from one bank to others in the network. We model a renegotiation game to explicitly examine the forgiveness of commitments of insolvent banks by solvent banks to limit the systemic transmission of financial distress. The assets of the insolvent bank can be appropriated by the forgiving bank in the two-bank network, but not the three-bank network, where th...
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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：Bernstein, Fernando; Modaresi, Sajad; Saure, Denis
作者单位：Duke University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Universidad de Chile
摘要：We consider an online retailer facing heterogeneous customers with initially unknown product preferences. Customers are characterized by a diverse set of demographic and transactional attributes. The retailer can personalize the customers' assortment offerings based on available profile information to maximize cumulative revenue. To that end, the retailer must estimate customer preferences by observing transaction data. This, however, may require a considerable amount of data and time given th...
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作者：Du, Du; Luo, Dan
作者单位：City University of Hong Kong; Shanghai University of Finance & Economics
摘要：This paper examines the joint time series of the S&P 500 index and its options with a two-factor Hawkes jump-diffusion model that captures jump propagation (i.e., the phenomenon in which the strike of one jump substantially raises the probability for more to follow). The propagation effect uncovered from the joint data is severe but short lived. On average, this component takes up more than two-thirds of the total jump risks. Our jump specification proves crucial not only in reconciling the dy...
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作者：Evangelidis, Ioannis; Levav, Jonathan
作者单位：Bocconi University; Stanford University
摘要：We introduce a new type of utility that we call process utility, which pertains to individuals' preference about how they want to obtain an outcome. We posit that decision makers derive utility not only from the outcome itself, but also from the process through which that outcome is obtained. We focus on two normatively equivalent processes for obtaining an outcome: action and inaction. We argue that inducing differences in how outcomes are obtained can lead to significant preference reversals...
