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作者：Diris, Bart; Palm, Franz; Schotman, Peter
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; Maastricht University
摘要：We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single-period market timing strategy would have realized an almost identical performance. The value of intertemporal hedge demands in strategic asset allocation appears negligible. The result is caused by the estimation error in predicting the predictors. A myopic in...
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作者：Lof, Matthijs
作者单位：Aalto University
摘要：The vector autoregressive approach for testing present value models is applied to a heterogeneous-agent asset pricing model using historical observations of the S&P 500 index. Besides fundamentalists, who value assets according to expected dividends, the model features rational and contrarian speculators. Agents choose their strategy based on evolutionary considerations. Supplementing the standard present value model with speculative agents dramatically improves the model's ability to replicat...
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作者：Shachat, Jason; Tan, Lijia
作者单位：Xiamen University; Xiamen University
摘要：In reverse auctions, buyers often retain the right to bargain further concessions from the winners. The optimal form of such procurement is an English auction followed by an auctioneer's option to engage in ultimatum bargaining with the winners. We study behavior and performance in this procurement format using a laboratory experiment. Sellers closely follow the equilibrium strategy of exiting the auction at their costs and then accepting strictly profitable offers. Buyers generally exercise t...
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作者：Chehrazi, Naveed; Weber, Thomas A.
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：This paper introduces a dynamic model of the stochastic repayment behavior exhibited by delinquent creditcard accounts. Based on this model, we construct a dynamic collectability score (DCS) that estimates the account-specific probability of collecting a given portion of the outstanding debt over any given time horizon. The model integrates a variety of information sources, including historical repayment data, account-specific, and time-varying macroeconomic covariates, as well as scheduled ac...
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作者：Huang, Yan; Singh, Param Vir; Ghose, Anindya
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University; New York University
摘要：We develop and estimate a dynamic structural framework to analyze the social-media content creation and consumption behavior of employees within an enterprise. We focus, in particular, on employees' blogging behavior. The model incorporates two key features that are ubiquitous in blogging forums: users face (1) a trade-off between blog posting and blog reading; and (2) a trade-off between work-related and leisure-related content. We apply the model to a unique data set comprising the complete ...
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作者：Brandts, Jordi; Groenert, Valeska; Rott, Christina
作者单位：Consejo Superior de Investigaciones Cientificas (CSIC); CSIC - Institut d'Analisi Economica (IAE); Barcelona School of Economics; Autonomous University of Barcelona; Autonomous University of Barcelona; Maastricht University
摘要：We conduct a laboratory experiment to study how advice by a more experienced and better-informed person affects an individual's entry into a real-effort tournament and the gender gap. Our experiment is motivated by the concerns raised by approaching the gender gap through affirmative action policies. Overall, advice improves the entry decision of subjects, in that forgone earnings due to wrong entry decisions go significantly down. The improvements are mainly driven by increased entry of stron...
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作者：Schipper, Burkhard C.
作者单位：University of California System; University of California Davis
摘要：We correlate competitive bidding and profits in symmetric independent private value first-price auctions with salivary testosterone, estradiol, progesterone, and cortisol in more than 200 subjects. Bids are significantly positively correlated and profits are significantly negatively correlated with basal salivary progesterone, but only for females who do not use hormonal contraceptives. Surprisingly, we have null findings for basal testosterone, estradiol, and cortisol for both males and femal...
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作者：de Bettignies, Jean-Etienne; Duchene, Anne
作者单位：Queens University - Canada; IPAG Business School; Drexel University
摘要：This paper examines the interaction between venture risk, product market competition, and the entrepreneur's choice between bank financing and venture capital (VC) financing. Under bank financing, a debt-type contract emerges as optimal, which allows the entrepreneur to retain full control of the venture and thus yields strong effort incentives, as long as the entrepreneur can service the debt repayment; however, this leads to liquidation in the case of default, making the venture's success qu...
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作者：Werner, Timothy
作者单位：University of Texas System; University of Texas Austin
摘要：This paper examines the role of firms' sociopolitical reputations, as proxied by their perceived engagement in socially responsible practices, in public policy makers' decisions to grant access in the policy-making process. I argue that policy makers' dependencies, motivations, and decision-making processes lead them to evaluate firms by using sociopolitical reputation as a differentiating heuristic. I hypothesize that firms that construct stronger sociopolitical reputations will be granted gr...
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作者：Chang, Wei-Shiun; Chen, Bo; Salmon, Timothy C.
作者单位：Humboldt University of Berlin; Southern Methodist University
摘要：In a procurement context, it can be quite costly for a buyer when the winning seller underestimates the cost of a project and then defaults on the project midway through completion. The average bid auction is one mechanism intended to help address this problem. This format involves awarding the contract to the bidder who has bid closest to the average of the bids submitted. We compare the performance of this mechanism with the standard low price mechanism to determine how successful the averag...
