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作者：Liebscher, Roberto; Maehlmann, Thomas
摘要：Theory predicts that individual investor's incentives to uncover new information about asset values are low if asset prices are efficient. This, in turn, implies that heterogeneity in investment manager skill, if present, should be most clearly visible among managers that focus on asset classes with less informationally efficient prices. We investigate this argument using a large sample of syndicated bank loan portfolios managed by collateralized loan obligation (CLO) managers. Using a CLO's e...
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作者：Jaeker, Jillian A. Berry; Tucker, Anita L.
作者单位：Boston University; Brandeis University
摘要：Service organizations face a trade-off between high utilization and responsiveness. High utilization can improve financial performance, but causes congestion, which increases throughput time. Employees may manage this trade-off by reducing processing times during periods of high workload, resulting in an inverted U-shaped relationship between utilization and throughput time. Using two years of inpatient data from 203 California hospitals, we find evidence that patient length of stay (LOS) incr...
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作者：Kuksov, Dmitri; Lin, Yuanfang
作者单位：University of Texas System; University of Texas Dallas
摘要：Oftentimes, close competitors carry partially overlapping assortments in seeming contradiction to the principle of maximum differentiation. One of the justifications of such practice is that an overlapping assortment with competitive prices on the common products may prevent further consumer search and therefore could be useful even when profits from the overlapping products do not justify the costs of carrying them. In this paper, we examine the validity of this intuition and show that such s...
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作者：Martin, Xiumin; Shalev, Ron
作者单位：Washington University (WUSTL); New York University
摘要：This study investigates whether firm-specific information about targets improves acquisition efficiency. We define acquisition efficiency as the total surplus generated by an acquisition and measure it as the difference in the value of the merged firm and the sum of the two firms operating separately. We find a positive association between target firm-specific information and acquisition efficiency that is driven mainly by diversifying acquisitions. Additional evidence suggests that both the l...
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作者：Caskey, Judson; Laux, Volker
作者单位：University of California System; University of California Los Angeles; University of Texas System; University of Texas Austin
摘要：We develop a model to analyze how board governance affects firms' financial reporting choices and managers' incentives to manipulate accounting reports. In our setting, ceteris paribus, conservative accounting is desirable because it allows the board of directors to better oversee the firm's investment decisions. This feature of conservatism, however, causes the manager to manipulate the accounting system to mislead the board and distort its decisions. Effective reporting oversight curtails ma...
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作者：Post, Thierry; Poti, Valerio
作者单位：Koc University; University College Dublin
摘要：This study formulates portfolio analysis in terms of stochastic dominance, relative entropy, and empirical likelihood. We define a portfolio inefficiency measure based on the divergence between given probabilities and the nearest probabilities that rationalize a given portfolio for some admissible utility function. When applied to a sample of time-series observations in a blockwise fashion, the inefficiency measure becomes a likelihood ratio statistic for testing inequality moment conditions. ...
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作者：Chu, Leon Yang; Shamir, Noam; Shin, Hyoduk
作者单位：University of Southern California; Tel Aviv University; University of California System; University of California San Diego
摘要：We study a supply chain comprised of a retailer who sources a product from a manufacturer. The retailer has superior forecast information about market demand, and the manufacturer builds the capacity and sets the wholesale price prior to demand realization. We explore forecast information sharing between the retailer and the manufacturer by means of cheap talk. We show that meaningful forecast information can be shared truthfully only before the manufacturer sets both the capacity and the whol...
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作者：Kapoor, Mudit; Ravi, Shamika
作者单位：Indian Statistical Institute; Indian Statistical Institute Delhi
摘要：This paper estimates the elasticity of intertemporal substitution in consumption (sigma) by exploiting a natural experiment provided by a change in the Indian banking legislation. The new legislation authorized banks to offer higher interest rates on deposits to citizens above 60 years of age. We find evidence that households exhibit inertia in reoptimization and are sensitive to the timing of the actual change in the interest rate. Households do not respond to the predictable changes in futur...
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作者：Garlappi, Lorenzo; Song, Zhongzhi
作者单位：University of British Columbia
摘要：Using two macro-based measures and one return-based measure of investment-specific technology (IST) shocks, we find that over the 1964-2012 period, exposure to IST shocks cannot explain cross-sectional return spreads based on book-to-market, momentum, asset growth, net share issues, accrual, and price-to-earnings ratio. Only one of the two macro-based measures can explain a sizable portion of the value premium over the longer 1930-2012 period. We also find that the IST risk premium estimates a...
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作者：Almeida, Caio; Garcia, Rene
作者单位：Getulio Vargas Foundation; Universite Catholique de Lille; EDHEC Business School; Universite de Montreal; Universite de Montreal
摘要：Based on a family of discrepancy functions, we derive nonparametric stochastic discount factor bounds that naturally generalize variance, entropy, and higher-moment bounds. These bounds are especially useful to identify how parameters affect pricing kernel dispersion in asset pricing models. In particular, they allow us to distinguish between models where dispersion comes mainly from skewness from models where kurtosis is the primary source of dispersion. We analyze the admissibility of disast...
