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作者：Chen, Shi; Lee, Hau
作者单位：University of Washington; University of Washington Seattle; Stanford University
摘要：We consider a project supply chain where a manufacturer carries out a sequence of tasks, and each task requires certain key materials from a supplier. Since a fixed-price contract cannot attain channel coordination, we focus on time-based incentive contracts. Our proposed contract requires optimization of the material delivery schedule as well as the fraction and the timing of a delayed payment to each supplier. Under the contract, the manufacturer's profit is affected by the variance but not ...
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作者：Du, Zaichao; Escanciano, Juan Carlos
作者单位：Southwestern University of Finance & Economics - China; Indiana University System; Indiana University Bloomington
摘要：The Basel Committee on Banking Supervision (BIS) has recently sanctioned expected shortfall (ES) as the market risk measure to be used for banking regulatory purposes, replacing the well-known value at risk (VaR). This change is motivated by the appealing theoretical properties of ES as a measure of risk and the poor properties of VaR. In particular, VaR fails to control for tail risk. In this transition, the major challenge faced by financial institutions is the unavailability of simple tools...
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作者：Cen, Ling; Wei, K. C. John; Yang, Liyan
作者单位：University of Toronto; University Toronto Scarborough; Hong Kong Polytechnic University; University of Toronto; Peking University
摘要：We explore analysts' earnings forecast data to improve on one popular disagreement measure-the analyst forecast dispersion measure-proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57: 2113-2141]. Our analysis suggests that changes in the standard deviations of forecasted earnings can work as a complementary disagreement measure that is comparable across stocks and immune from other return-predictive ...
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作者：Lambrecht, Anja; Misra, Kanishka
作者单位：University of London; London Business School; University of Michigan System; University of Michigan
摘要：Many online content providers aim to compensate for a loss in advertising revenues by charging consumers for access to content. However, such a choice is not straightforward because subscription fees typically deter customers, and a resulting decline in viewership further reduces advertising revenues. This research examines whether firms that offer both free and paid content can benefit from adjusting the amount of content offered for free. We find that firms should offer more free-and not pai...
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作者：Lang, Matthias
作者单位：Free University of Berlin; Max Planck Society; Leibniz Association; Ifo Institut
摘要：Different models of uncertainty aversion imply strikingly different economic behavior. The key to understanding these differences lies in the dichotomy between first-order and second-order ambiguity aversion, which I define here. My definition and its characterization are independent of specific representations of decisions under uncertainty. I showthat with second-order ambiguity aversion, a positive exposure to ambiguity is optimal if and only if there is a subjective belief such that the ac...
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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：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 ...
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作者：Bernstein, Shai; Lerner, Josh; Sorensen, Morten; Stromberg, Per
作者单位：Stanford University; Harvard University; National Bureau of Economic Research; Copenhagen Business School; Columbia University; Stockholm School of Economics; Centre for Economic Policy Research - UK
摘要：The growth of the private equity industry has spurred concerns about its impact on the economy. This analysis looks across nations and industries to assess the impact of private equity on industry performance. We find that industries where private equity funds invest grow more quickly in terms of total production and employment and appear less exposed to aggregate shocks. Our robustness tests provide some evidence that is consistent with our effects being driven by our preferred channel.
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作者：Nanda, Ramana; Rhodes-Kropf, Matthew
作者单位：Harvard University
摘要：We provide a model of investment in new ventures that demonstrates why some places, times, and industries should be associated with a greater degree of experimentation by investors. Investors respond to financing risk, a forecast of limited future funding, by modifying their focus to finance less innovative firms. In equilibrium, financing risk disproportionately impacts innovative ventures with the greatest real option value by creating a trade-off between protecting the firm from financing r...
