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作者：Liu, Qi; Tao, Libin; Wu, Weixing; Yu, Jianfeng
作者单位：Peking University; University of International Business & Economics; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Numerous studies argue that the market risk premium is associated with expected economic conditions and show that proxies for expected business conditions indeed predict aggregate market returns. By directly estimating short- and long-run expected economic growth, we show that short- run expected economic growth is negatively related to future returns, whereas long-run expected economic growth is positively related to aggregate market returns. In addition, our findings indicate that the risk p...
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作者：Belloni, Alexandre; Lopomo, Giuseppe; Wang, Shouqiang
作者单位：Duke University; University of Texas System; University of Texas Dallas
摘要：We study the effect of multilateral private information on the efficiency of markets where capacity-constrained upstream agents supply a resource to downstream entities facing uncertain end-demands. We analyze two models: a pooling system, in which a single downstream principal pools a resource from multiple upstream agents; and a distribution system, in which one upstream principal allocates a resource across multiple downstream agents. We show that the presence of multilateral private inform...
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作者：Eufinger, Christian; Gill, Andrej
作者单位：University of Navarra; IESE Business School; Goethe University Frankfurt
摘要：This paper proposes a new regulatory approach that implements capital requirements contingent on executive incentive schemes. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea behind the proposed regulatory approach is thus that the more the compensation structure decouples the interests of bank managers from those of shareholders by curb...
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作者：Gallus, Jana
作者单位：University of California System; University of California Los Angeles
摘要：This natural field experiment tests the effects of purely symbolic awards on volunteer retention in a public goods context. The experiment is conducted at Wikipedia, which faces declining editor retention rates, particularly among newcomers. Randomization assures that award receipt is orthogonal to previous performance. The analysis reveals that awards have a sizeable effect on newcomer retention, which persists over the four quarters following the initial intervention. This is noteworthy for ...
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作者：Tian, Lin; Jiang, Baojun
作者单位：Shanghai University of Finance & Economics; Washington University (WUSTL)
摘要：Anand and Goyal [Anand KS, Goyal M (2009) Strategic information management under leakage in a supply chain. Management Sci. 55(3):438-452] propose a horizontal differentiation model to study information leakage and demand signaling in a supply chain. The authors present a composite equilibrium consisting of separating and pooling outcomes in different parameter regions and claim that it satisfies the intuitive criterion. We show that their analysis for the pooling equilibrium has errors and al...
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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：Gandy, Axel; Veraart, Luitgard A. M.
作者单位：Imperial College London; University of London; London School Economics & Political Science
摘要：We develop a Bayesian methodology for systemic risk assessment in financial networks such as the interbank market. Nodes represent participants in the network, and weighted directed edges represent liabilities. Often, for every participant, only the total liabilities and total assets within this network are observable. However, systemic risk assessment needs the individual liabilities. We propose a model for the individual liabilities, which, following a Bayesian approach, we then condition on...
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作者：Luo, Yulei
作者单位：University of Hong Kong
摘要：This paper provides a tractable continuous-time, constant absolute risk aversion-Gaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness, and state uncertainty due to information-processing constraints (rational inattention) affect strategic consumption-portfolio rules and precautionary savings in the presence of uninsurable labor income. Specifically, after solving the model explicitly, I compute and compare the elast...
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作者：Chen, Xin; Hu, Peng; Hu, Zhenyu
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Huazhong University of Science & Technology; National University of Singapore
摘要：We analyze a finite-horizon dynamic pricing model in which demand at each period depends on not only the current price but also past prices through reference prices. A unique feature but also a significant challenge in this model is the asymmetry in reference price effect, which implies that the underlying optimization problem is nonsmooth and no standard optimization methods can be applied. We identify a few key structural properties of the problem, which enable us to develop strongly polynom...
