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作者：Aprahamian, Hrayer; Bish, Douglas R.; Bish, Ebru K.
作者单位：Texas A&M University System; Texas A&M University College Station; Virginia Polytechnic Institute & State University
摘要：Group testing (i.e., testing multiple subjects simultaneously with a single test) is essential for classifying a large population of subjects as positive or negative for a binary characteristic (e.g., presence of a disease). We study optimal group testing designs under subject-specific risk characteristics and imperfect tests, considering classification accuracy-, efficiency- and equity-based objectives, and characterize important structural properties of optimal testing designs. These propert...
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作者：Choi, Jaewon; Shachar, Or; Shin, Sean Seunghun
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Federal Reserve System - USA; Federal Reserve Bank - New York; Aalto University
摘要：We examine dealers' liquidity provision against mispricing in the corporate bond market from 2005 to 2009. Dealers on average serve as stabilizing liquidity providers by trading against widening price gaps between corporate bonds and credit default swaps (the CDS-bond basis). However, dealers cut back on liquidity provision as they suffer losses, mispricing becomes wider, or the funding situation worsens, consistent with the limited capital capacity of financial intermediaries. We also show th...
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作者：Cao, Charles; Gustafson, Matthew; Velthuis, Raisa
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Villanova University
摘要：This paper investigates the extent to which index membership affects small firm financing. Using a regression discontinuity specification around the lower cutoff of the Russell 2000 small-cap index, we find that index membership causes small firms to transition away from bank financing in favor of seasoned equity offerings. These effects are concentrated in the year following Russell 2000 additions and do not reverse immediately upon deletions. Liquidity, the elasticity of demand for equity, a...
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作者：Balseiro, Santiago R.; Gur, Yonatan
作者单位：Columbia University; Stanford University
摘要：In online advertising markets, advertisers often purchase ad placements through bidding in repeated auctions based on realized viewer information. We study how budget-constrained advertisers may compete in such sequential auctions in the presence of uncertainty about future bidding opportunities and competition. We formulate this problem as a sequential game of incomplete information, in which bidders know neither their own valuation distribution nor the budgets and valuation distributions of ...
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作者：Goerg, Sebastian J.; Kube, Sebastian; Radbruch, Jonas
作者单位：Technical University of Munich; Max Planck Society; IZA Institute Labor Economics; University of Bonn
摘要：Agents' decisions to exert effort depend on the incentives and the potential costs involved. So far, most of the attention has been on the incentive side. However, our laboratory experiments underline that both the incentive and the cost side can be used separately to shape work performance. In our experiment, subjects work on a real-effort slider task. Between treatments, we vary the incentive scheme used for compensating workers. Additionally, by varying the available outside options, we exp...
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作者：Chaudhuri, Shomesh E.; Lo, Andrew W.
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作者：Chaudhuri, Shomesh E.; Lo, Andrew W.
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); The Santa Fe Institute
摘要：The value added by an active investor is traditionally measured using alpha, tracking error, and the information ratio. However, these measures do not characterize the dynamic component of investor activity, nor do they consider the time horizons over which weights are changed. In this paper, we propose a technique to measure the value of active investment that captures both the static and dynamic contributions of an investment process. This dynamic alpha is based on the decomposition of a por...
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作者：He, Shuangchi; Sim, Melvyn; Zhang, Meilin
作者单位：National University of Singapore; National University of Singapore; Singapore University of Social Sciences (SUSS)
摘要：Emergency care necessitates adequate and timely treatment, which has unfortunately been compromised by crowding in many emergency departments (EDs). To address this issue, we study patient scheduling in EDs so that mandatory targets imposed on each patient's door-to-provider time and length of stay can be collectively met with the largest probability. Exploiting patient flow data from the ED, we propose a hybrid robustst-ochastic approach to formulating the patient scheduling problem, which al...
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作者：Cortazar, Gonzalo; Millard, Cristobal; Ortega, Hector; Schwartz, Eduardo S.
作者单位：Pontificia Universidad Catolica de Chile; Simon Fraser University; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts' forecasts of oil spot prices. We conclude that to obtain reasonable expected spot curves, analysts' forecasts should be used, either alone or jointly with futures data. The use o...
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作者：Barillas, Francisco; Nimark, Kristoffer
作者单位：Emory University; Cornell University
摘要：An affine no-arbitrage asset pricing framework is developed that allows for agents to have rational but heterogeneous expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data. Heterogeneous information introduces a speculative component in bond prices that is (i) statistically distinct from classical components such as risk premia and expectations about future short rates and (ii) quantitatively important, at times accounting for u...
