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作者：Chiong, Khai Xiang; Shum, Matthew
作者单位：University of Texas System; University of Texas Dallas; California Institute of Technology
摘要：We introduce random projection, an important dimension-reduction tool from machine learning, for the estimation of aggregate discrete-choice models with high-dimensional choice sets. Initially, high-dimensional data are projected into a lower-dimensional Euclidean space using random projections. Subsequently, estimation proceeds using cyclical monotonicity moment inequalities implied by the multinomial choice model; the estimation procedure is semiparametric and does not require explicit distr...
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作者：Bandi, Chaithanya; Trichakis, Nikolaos; Vayanos, Phebe
作者单位：Northwestern University; Massachusetts Institute of Technology (MIT); University of Southern California; University of Southern California; University of Southern California
摘要：In this paper, we study systems that allocate different types of scarce resources to heterogeneous allocatees based on predetermined priority rules-the U.S. deceased-donor kidney allocation system or the public housing program. We tackle the problem of estimating the wait time of an allocatee who possesses incomplete system information with regard, for example, to his relative priority, other allocatees' preferences, and resource availability. We model such systems as multiclass, multiserver q...
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作者：Merrill, Craig B.; Nadauld, Taylor D.; Strahan, Philip E.
作者单位：University of Pennsylvania; Brigham Young University; Boston College; National Bureau of Economic Research
摘要：Structured finance boomed during the run-up to the 2008 financial crisis. Highly rated, structured securities offered higher yield than other similarly rated bonds because of their concentration of systematic risk, but regulatory capital requirements did not account for this risk. As a result, regulated entities facing capital constraints had an incentive to invest in them. We show that life insurance companies exposed to unrealized losses from low interest rates in the early 2000s increased t...
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作者：Gaba, Anil; Popescu, Dana G.; Chen, Zhi
作者单位：INSEAD Business School; University of Virginia
摘要：The paper develops a model for combining point forecasts into a predictive distribution for a variable of interest. Our approach allows for point forecasts to be correlated and admits uncertainty on the distribution parameters given the forecasts. Further, it provides an easy way to compute an augmentation factor needed to equate the dispersion of the point forecasts to that of the predictive distribution, which depends on the correlation between the point forecasts and on the number of foreca...
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作者：Gilje, Erik P.
作者单位：University of Pennsylvania
摘要：I exploit exogenous changes in local credit supply from shale discoveries to identify where and when local access to finance is economically important for firms. I find that the real effects of a credit supply shock are linked to local lending market characteristics. Changes in local credit supply have significant real effects in lending markets dominated by small banks, while there is no effect in other markets. These results suggest that small banks, which do not benefit from deep internal c...
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作者：Badertscher, Brad A.; Givoly, Dan; Katz, Sharon P.; Lee, Hanna
作者单位：University of Notre Dame; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; INSEAD Business School; University System of Maryland; University of Maryland College Park
摘要：A number of studies have examined the effect of public and private ownership on the cost of debt and concluded that the cost of debt of privately owned firms is higher, driven mainly by the poorer information environment in which these firms operate. We extend this strand of research in two ways. First, we identify and empirically establish the mechanisms that bring about a higher cost of debt to privately owned firms-namely, the limited access that these firms have to the equity capital marke...
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作者：Ke, Ruihao; Li, Meng; Ling, Zhejia; Zhang, Yuan
作者单位：Southern Methodist University; University of Texas System; University of Texas Dallas; Iowa State University
摘要：We examine the role of teamwork within the top executive teams in generating management forecasts. Using social connections within the executive team to capture the team's interaction, cooperation, and teamwork, we find that social connections among team members are associated with higher management forecast accuracy, consistent with economic theories that information is dispersed within a firm and with sociology insights that social connections facilitate information sharing. Further analyses...
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作者：Sirignano, Justin; Giesecke, Kay
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
摘要：Financial institutions, government-sponsored enterprises, and asset-backed security investors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, and auto, student, and business loans. Because of the size of the pools, the measurement of these exposures is computationally expensive. This paper develops and tests efficient numerical methods for the analysis of large pools of loans as well as asset-backed securities backed b...
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作者：Alizamir, Saed; Iravani, Foad; Mamani, Flamed
作者单位：Yale University; University of Washington; University of Washington Seattle
摘要：The agriculture industry plays a critical role in the U.S. economy, and various industry sectors depend on the output of farms. To protect and raise farmers' income, the U.S. government offers two subsidy programs to farmers: the Price Loss Coverage (PLC) program, which pays farmers a subsidy when the market price falls below a reference price, and the Agriculture Risk Coverage (ARC) program, which is triggered when farmers' revenue is below a threshold. Given the unique features of PLC and AR...
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作者：Nasser, Sherif; Turcic, Danko
作者单位：Cornell University; Washington University (WUSTL)
摘要：This paper analyzes a setting in which a manufacturer (he) and a retailer (she) face uncertain demand, but the retailer has an information advantage in the form of a private demand forecast. Such information asymmetry causes the manufacturer to incur a hidden information cost. The results show that a manufacturer can leverage his timing advantage to strategically implement a temporary contract adjustment (TCA) mechanism, which allows him to counter his informational disadvantage and either eli...
