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作者：Bakshi, Gurdip; Gao, Xiaohui; Rossi, Alberto G.
作者单位：University System of Maryland; University of Maryland College Park
摘要：We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide an economic interpretation, we show that innovations in global equity volatility can price portfolios formed on carry, while innovations in a commodity-based measure of speculative activity can price po...
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作者：Bapna, Sofia
作者单位：University of Minnesota System; University of Minnesota Twin Cities
摘要：This study employs a randomized field experiment to causally identify what type of signal is likely to complement another signal in the context of financing technology ventures. The study examines the effect of product certification by expert intermediaries, prominent customers, and social proof (that is, others' interest in investing in a venture) on interest in investing. These three signals are primarily signals of a venture's product, market, and investment characteristics, respectively. T...
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作者：Custodio, Claudia; Ferreira, Miguel A.; Matos, Pedro
作者单位：Imperial College London; Centre for Economic Policy Research - UK; European Corporate Governance Institute; Universidade Nova de Lisboa; University of Virginia
摘要：We show that firms with chief executive officers (CEOs) who gain general managerial skills over their lifetime of work experience produce more patents. We address the potential endogenous CEO-firm matching bias using firm-CEO fixed effects and variation in the enforceability of noncompete agreements across states and over time during the CEO's career. Our findings suggest that generalist CEOs spur innovation because they acquire knowledge beyond the firm's current technological domain, and the...
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作者：Inderst, Roman; Shaffer, Greg
作者单位：Goethe University Frankfurt; University of Rochester
摘要：The channel-coordination literature typically focuses on how a supplier can overcome channel inefficiencies stemming from misaligned pricing incentives. In contrast, we show that when an incumbent supplier faces competition from other suppliers to supply the downstream firms, it may want to create inefficiencies. Our analysis offers useful prescriptions for how incumbent suppliers should react to competitive threats by smaller competitors, how manufacturers should react to powerful retailers w...
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作者：Chan, Carri W.; Green, Linda, V; Lekwijit, Suparerk; Lu, Lijian; Escobar, Gabriel
作者单位：Columbia University; University of Pennsylvania; Kaiser Permanente
摘要：Many service systems have servers with different capabilities and customers with varying needs. One common way this occurs is when servers are hierarchical in their skills or in the level of service they can provide. Much of the literature studying such systems relies on an understanding of the relative costs and benefits associated with serving different customer types by the different levels of service. In this work, we focus on estimating these costs and benefits in a complex healthcare set...
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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：Dhanorkar, Suvrat
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
摘要：Recently, online matching platforms (e.g., Craigslist, FreeCycle, Gumtree) have enabled consumers to directly connect with each other to buy/sell used consumer goods (electronics, furniture, packaging, etc.) that would have otherwise ended up in the waste stream. Such matching platforms can facilitate the creation of consumer-to-consumer (C2C) closed-loop supply chains (CLSCs) for used goods, which can enhance product reuse and limit reliance on recycling and disposal alternatives. Yet, the tr...
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作者：Singh, Jasjit; Teng, Nina; Netessine, Serguei
作者单位：INSEAD Business School; University of Oxford; University of Pennsylvania
摘要：Firms commonly undertake philanthropic campaigns as a means of attracting and retaining customers. Such campaigns often take the form of charity-linked promotions, whereby a firm donates a specific amount to a charitable cause when a customer takes up the promotion through a related purchase. We carried out three field experiments to study such promotions in the context of an online taxi-booking platform. Customers were randomly assigned to different treatment groups, which received either a c...
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作者：Hagiu, Andrei; Wright, Julian
作者单位：Massachusetts Institute of Technology (MIT); National University of Singapore
摘要：How does a firm decide whether to employ professionals and control how they deliver services to clients, or to operate as a platform enabling independent professionals to provide services directly to clients? Similarly, how does a manufacturer decide whether to allow sales agents to choose certain costly actions (e.g., kickbacks to clients) or to take control of these actions itself? We answer this question using a principal-agent framework in which both the principal and the agent must be inc...
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作者：Bertsimas, Dimitris; Sim, Melvyn; Zhang, Meilin
作者单位：Massachusetts Institute of Technology (MIT); National University of Singapore; Singapore University of Social Sciences (SUSS)
摘要：We develop a modular and tractable framework for solving an adaptive distributionally robust linear optimization problem, where we minimize the worst-case expected cost over an ambiguity set of probability distributions. The adaptive distributionally robust optimization framework caters for dynamic decision making, where decisions adapt to the uncertain outcomes as they unfold in stages. For tractability considerations, we focus on a class of second-order conic (SOC) representable ambiguity se...
