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作者：Rao, Ram; Turut, Ozge
作者单位：University of Texas System; University of Texas Dallas; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
摘要：The mere preannouncement of a new product can affect consumer choice, thus complicating preannouncement strategy. This is because a preannounced product that is unavailable immediately can still be one of the alternatives in a consumer's mind at the time of choice. Such unavailable products, also known as phantom products, influence the reference point that consumers compare alternatives to when making a choice, as has been widely demonstrated in experimental studies. Thus, in addition to enco...
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作者：Chun, Albert Lee; Namvar, Ethan; Ye, Xiaoxia; Yu, Fan
作者单位：Rensselaer Polytechnic Institute; University of California System; University of California Berkeley; University of Liverpool; Claremont Colleges; Claremont McKenna College; Claremont Graduate University
摘要：We develop an intensity-based model of municipal yields, making simultaneous use of the credit default swap premiums of the insurers and both insured and uninsured municipal bond transactions. We estimate the model individually for 61 municipal issuers by exploiting the dramatic decline in credit quality of the bond insurers from July 2007 to June 2008, and decompose the municipal yield spread based on the estimated parameters. The decomposition reveals a dominant role of the liquidity compone...
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作者：Beaver, William H.; Cascino, Stefano; Correia, Maria; McNichols, Maureen F.
作者单位：Stanford University; University of London; London School Economics & Political Science
摘要：Using a large sample of business groups from more than 100 countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance sheet asset for the receiving firm and an off-balance sheet liability for the firm offering support. We find that subsidiary information improves parent default prediction over and above group-level consolidated i...
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作者：Eisert, Tim; Eufinger, Christian
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Navarra; IESE Business School
摘要：This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees, they can significantly increase their expected returns by channeling funds through the interbank market before these funds are invested in real assets. If banks that are protected by implicit or explicit government guarantees act as intermediaries between other banks and real investments, there is the possibility that these intermediary banks will be ...
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作者：Sun, Yacheng; Zhang, Dan
作者单位：Tsinghua University; University of Colorado System; University of Colorado Boulder
摘要：A little-understood phenomenon of customer reward programs is the prevalent use of finite reward expiration terms. We develop a theoretical framework to investigate the economic rationale behind this phenomenon and the trade-off between short and long expiration terms. In our model, a monopolistic firm sets the expiration term, along with the price and reward size, and interacts with consumers over an infinite horizon. Consumers are heterogeneous in shopping probabilities and product valuation...
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作者：Tan, Tom Fangyun; Netessine, Serguei
作者单位：Southern Methodist University; University of Pennsylvania
摘要：We examine a large operational data set in a casual restaurant setting to study how coworkers' sales ability level affects other workers' sales performance. We find that waiters react nonlinearly to their coworkers' ability. In particular, when coworkers' overall sales ability is low, increasing this ability may prompt waiters to redouble both upselling and cross-selling efforts. When overall coworkers' ability is high, however, further increasing their ability may trigger waiters to reduce sa...
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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：Hu, Ming; Liu, Yan; Wang, Wenbin
作者单位：University of Toronto; Tianjin University; Shanghai University of Finance & Economics
摘要：The price fluctuation in agricultural markets is an obstacle to poverty reduction for small-scale farmers in developing countries. We build a microfoundation to study how farmers with heterogeneous production costs, under price fluctuations, make crop-planting decisions over time to maximize their individual welfare. We consider both strategic farmers, who rationally anticipate the near-future price as a basis for making planting decisions, and naive farmers, who shortsightedly react to the mo...
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作者：Seo, Sang Byung; Wachter, Jessica A.
作者单位：University of Houston System; University of Houston; University of Pennsylvania; National Bureau of Economic Research
摘要：Contrary to well-known asset pricing models, volatilities implied by equity index options exceed realized stock market volatility and exhibit a pattern known as the volatility skew. We explain both facts using a model that can also account for the mean and volatility of equity returns. Our model assumes a small risk of economic disaster that is calibrated based on international data on large consumption declines. We allow the disaster probability to be stochastic, which turns out to be crucial...
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作者：Bhatia, Sudeep
作者单位：University of Pennsylvania
摘要：We outline computational techniques for predicting perceptions of risk. Our approach uses the structure of word distribution in natural language data to uncover rich representations for a very large set of naturalistic risk sources. With the application of standard machine learning techniques, we are able to accurately map these representations onto participant risk ratings. Unlike existing methods in risk perception research, our approach does not require any specialized participant data and ...
