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作者：Ehling, Paul; Gallmeyer, Michael; Srivastava, Sanjay; Tompaidis, Stathis; Yang, Chunyu
作者单位：BI Norwegian Business School; University of Virginia; University System of Georgia; Georgia State University; University of Texas System; University of Texas Austin
摘要：We study portfolio choice with multiple stocks and capital gains taxation, assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using value and growth or small and large portfolios, the backtests show that allocations remain persistently underdiversified. Carryov...
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作者：Sun, Peng; Tian, Feng
作者单位：Duke University; University of Michigan System; University of Michigan
摘要：We consider a basic model of a risk-neutral principal incentivizing a risk-neutral agent to exert effort to raise the arrival rate of a Poisson process. The effort is costly to the agent, is unobservable to the principal, and affects the instantaneous arrival rate. Each arrival yields a constant revenue to the principal. The principal, therefore, devises a mechanism involving payments and a potential stopping time to motivate the agent to always exert effort. We formulate this problem as a sto...
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作者：Han, Jungsuk; Kyle, Albert S.
作者单位：Stockholm School of Economics; University System of Maryland; University of Maryland College Park
摘要：Modest differences in higher-order beliefs may have large price effects. We generalize a standard rational expectations equilibrium model with different information by allowing differences in higher-order beliefs. Investors have possibly different dogmatic beliefs about the mean, different dogmatic beliefs about other investors' beliefs, and so on for higher and higher orders of beliefs. Even when every investor's first-order expectations are unbiased, overvaluation results when investors have...
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作者：Li, Jun; Netessine, Serguei; Koulayev, Sergei
作者单位：University of Michigan System; University of Michigan; University of Pennsylvania
摘要：We study price competition in markets with a large number (in the magnitude of hundreds or thousands) of potential competitors. We address two methodological challenges: simultaneity bias and high dimensionality. Simultaneity bias arises from joint determination of prices in competitive markets. We propose a new instrumental variable approach to address simultaneity bias in high dimensions. The novelty of the idea is to exploit online search and clickstream data to uncover customer preferences...
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作者：Ibanez, Maria R.; Clark, Jonathan R.; Huckman, Robert S.; Staats, Bradley R.
作者单位：Harvard University; University of Texas System; University of Texas at San Antonio; National Bureau of Economic Research; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：Work scheduling research typically prescribes task sequences implemented by managers. Yet employees often have discretion to deviate from their prescribed sequence. Using data from 2.4 million radiological diagnoses, we find that doctors prioritize similar tasks (batching) and those tasks they expect to complete faster (shortest expected processing time). Moreover, they exercise more discretion as they accumulate experience. Exploiting random assignment of tasks to doctors' queues, instrumenta...
