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作者：Kou, Steven; Yu, Cindy; Zhong, Haowen
作者单位：National University of Singapore; National University of Singapore; Iowa State University; Columbia University
摘要：We attempt to answer two questions in this paper: (i) How did jumps in equity returns change after the 2008-2009 financial crisis-in particular, were there significant changes in jump rates or in jump sizes, or both? (ii) Can the performance of affine jump-diffusion models be improved if jump sizes are larger, i.e., jumps with tails heavier than those of the normal distribution? To answer the second question, we find that a simple affine jump-diffusion model with both stochastic volatility and...
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作者：Pan, Yihui
作者单位：Utah System of Higher Education; University of Utah
摘要：I estimate a model of executive-firm matching, in which both components of the executive labor market outcome-the assignment of managers to firms and the cross-sectional distribution of executive pay-are endogenously determined. Results in this paper reveal the importance of match specificity in productivity, driven by complementarities between firm and manager attributes. Therefore, one reason that larger, more diversified, research-intensive firms pay their executives more is because they ar...
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作者：Englmaier, Florian; Roider, Andreas; Sunde, Uwe
作者单位：University of Munich; University of Regensburg
摘要：In corporate practice, incentive schemes are often complicated even for simple tasks. Hence, the way they are communicated might matter. In a natural field experiment, we study a minimally invasive change in the communication of a well-established incentive scheme-a reminder regarding the piece rate at the beginning of the shift. The experiment was conducted in a large firm where experienced managers work in a team production setting and where incentives for both quantity and quality of output...
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作者：Larkin, Yelena; Leary, Mark T.; Michaely, Roni
作者单位：York University - Canada; Washington University (WUSTL); National Bureau of Economic Research; Cornell University
摘要：It is widely documented that managers strive to maintain smooth dividends. Yet, it is not clear if this behavior reflects investors' preferences. In this paper, we study whether investors indeed value dividend-smoothing stocks differently by exploring the implications of dividend smoothing for firms' investor clientele, stock prices, and cost of capital. We find that retail investors are less likely to hold dividend-smoothing stocks, while institutional investors, and especially mutual funds, ...
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作者：Mueller, Alfred; Scarsini, Marco; Tsetlin, Ilia; Winkler, Robert L.
作者单位：Universitat Siegen; Luiss Guido Carli University; INSEAD Business School; Duke University
摘要：We develop a continuum of stochastic dominance rules, covering preferences from first- to second-order stochastic dominance. The motivation for such a continuum is that while decision makers have a preference for more is better, they are mostly risk averse but cannot assert that they would dislike any risk. For example, situations with targets, aspiration levels, and local convexities in induced utility functions in sequential decision problems may lead to preferences for some risks. We relate...
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作者：Kahale, Nabil
作者单位：heSam Universite; ESCP Business School
摘要：We give a method based on convex programming to calculate the optimal super-replicating and subreplicating prices and corresponding hedging portfolios of a financial derivative in terms of other financial derivatives in a discrete-time setting. Our method produces a model that matches the superreplicating (or subreplicating) price within an arbitrary precision and is consistent with the other financial derivatives prices. Applications include robust replication in terms of call prices with var...
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作者：Chadi, Adrian; Jeworrek, Sabrina; Mertins, Vanessa
作者单位：Universitat Trier
摘要：This experiment tests for a causal relationship between the meaning of work and employees' motivation to perform well. The study builds on an existing employer-employee relationship, adding realism to the ongoing research of task meaning. Owing to an unexpected project cancelation, we are able to study how varying the information provided about the meaning of previously conducted work-without the use of deception, but still maintaining a high level of control-affects subsequent performance. We...
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作者：Xu, Kaiquan; Chan, Jason; Ghose, Anindya; Han, Sang Pil
作者单位：Nanjing University; Nanjing University; University of Minnesota System; University of Minnesota Twin Cities; New York University; Arizona State University; Arizona State University-Tempe
摘要：The introduction of tablets in online retailing has created an additional touch-point through which e-commerce firms can interact with consumers. In this paper, we seek to understand and measure the causal impact of tablets on e-commerce sales. In doing so, we examine the complementary and substitution impact of the tablet channel on the smartphone and PC channels. We rely on a unique data set from Alibaba, the largest e-commerce firm in the world, and exploit a natural experiment via the iPad...
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作者：Delis, Manthos D.; Staikouras, Panagiotis K.; Tsoumas, Chris
作者单位：University of Surrey; University of Piraeus; Hellenic Open University
摘要：Employing a unique data set for the period 2000-2010, this paper examines the impact of formal enforcement actions targeting the core of the banks' financial safety and soundness in terms of bank capital, risk, and performance. We find that, on average, these actions reduce both the risk-weighted assets and the nonperforming loans ratios of punished banks, but there is no increase in the level of regulatory capital. These effects are less powerful during the postcrisis period, suggesting that ...
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作者：Lim, Michael K.; Mak, Ho-Yin; Shen, Zuo-Jun Max
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Oxford; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Strategic supply chain design decisions are critical to the long-term success of a business. Traditional facility location models for supply chain design focus on the trade-offs between the costs and benefits of proximity, i.e., the distance between facilities and customers. These strategic-focused models do not consider the supply chain's agility, i.e., its ability to quickly respond to unexpected fluctuations in customer needs. In this paper, we study the problem of designing a supply chain ...
