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作者：Chordia, Tarun; Hu, Jianfeng; Subrahmanyam, Avanidhar; Tong, Qing
作者单位：Emory University; Singapore Management University; Nanjing University; University of California System; University of California Los Angeles
摘要：We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger announcements when information asymmetry is likely to be elevated. Levels of and shocks to order flow volatility are positively and significantly correlated with existing illiquidity proxies, and strongly...
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作者：Wu, Jianqing (Fisher); Tawarmalani, Mohit; Kannan, Karthik N.
作者单位：University of Washington; University of Washington Seattle; Purdue University System; Purdue University
摘要：We study the pricing of cardinality bundles, where firms set prices that depend only on the size of the purchased bundle, a practice that is increasingly being adopted by industry. The model we study, where consumer choices are discrete, was originally proposed by Hitt and Chen [Hitt L, Chen P (2005) Bundling with customer self-selection: A simple approach to bundling low-marginal-cost goods. Management Sci. 51 (10):1481-1493], and it requires that consumers' preferences obey the Spence-Mirrle...
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作者：Demere, B. William; Sedatole, Karen L.; Woods, Alexander
作者单位：University of Missouri System; University of Missouri Columbia; Emory University; William & Mary
摘要：We provide the first empirical evidence of the role that calibration committees play in subjective performance evaluation systems. Using proprietary data from a large multinational organization, we begin by showing that calibration committees adjust ratings sparingly (i.e., 25% adjustment rate), but when they do, downward adjustments are significantly more frequent and of greater magnitude than upward adjustments. Calibration committees tend to downward (upward) adjust ratings of supervisors w...
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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：Kraemer, Jan; Schnurr, Daniel; Wohlfarth, Michael
作者单位：University of Passau; University of Passau
摘要：Social logins, such as Log in with Facebook, improve a website's user experience and therefore enjoy great popularity among content providers (CPs) and users alike. Moreover, they also enable the social network and the CPs to share data, which individually improves their ability to place targeted advertising. On the basis of a game-theoretic model that offers a microfoundation for CPs' competition for advertisements, on the one hand, and CPs' competition for users, on the other hand, we demons...
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作者：Berman, Oded; Fazel-Zarandi, Mohammad M.; Krass, Dmitry
作者单位：University of Toronto; Yale University
摘要：This paper shows that operational flexibility interacting with informational uncertainty may lead to truthful information exchange in equilibrium even when the communication is nonbinding and unverifiable, i.e., cheap talk. We consider a model consisting of a manufacturer releasing a new product with uncertain release date and demand, and a retailer who must determine the allocation of limited capacity between a preexisting third-party product and the manufacturer's new product that may or may...
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作者：Schneider, Florian H.; Schonger, Martin
作者单位：University of Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：Most models of ambiguity aversion satisfy the Anscombe-Aumann monotonicity axiom. Monotonicity implies a weak form of separability of preferences across events that occur with unknown probability. We construct a test of weak separability by modifying the Allais paradox, adapting it to the Anscombe-Aumann framework. Three experimental studies are conducted. Study 1 finds frequent, systematic violations of weak separability in the lab. These findings replicate in study 2, where we employ a subje...
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作者：Xin, Mingdi; Choudhary, Vidyanand
作者单位：University of California System; University of California Irvine
摘要：How does competition impact firms' incentive to innovate by investing in information technology (IT)? Prior literature suggests opposite predictions on the direction in which competition drives IT investment. This paper analyzes a game theoretic model of duopoly competition and shows that an important feature of IT sheds new light on firms' investment decisions: IT implementation can fail. Without the possibility of implementation failure, the opportunity to invest in IT hurts firms' profits b...
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作者：Dasgupta, Sudipto; Noe, Thomas H.
作者单位：Chinese University of Hong Kong; Lancaster University; Center for Economic & Policy Research (CEPR); University of Oxford; University of Oxford
摘要：Typically, shareholders are not sure whether boards act in their interest or have been captured by management. They are also less well informed than boards about firm investment opportunities and operating conditions. We develop a model, consistent with these observations, in which discretionary compensation payments to managers might increase firm value or might simply enrich managers at the expense of shareholders. After observing the board's compensation and investment policies, shareholder...
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作者：Lou, Yun
作者单位：Singapore Management University
摘要：I examine the effect of the disclosure of pending lawsuits in 10-K/Q filings on the contractual terms of newly issued bonds. I find that firms' decisions to disclose pending lawsuits and the amount of disclosed information (i.e., the level of disclosure) have opposite effects. Specifically, firms that disclose a higher proportion of their pending lawsuits face higher yields and are more likely to include default clauses pertaining to court judgments in the bond prospectuses. However, within th...
