2015

最新文章

• Do Incumbents Improve Service Quality in Response to Entry? Evidence from Airlines' On-Time Performance AI翻译
  作者：Prince, Jeffrey T.; Simon, Daniel H.
  作者单位：Indiana University System; IU Kelley School of Business; Indiana University Bloomington; Indiana University System; Indiana University Bloomington
  摘要：We examine if and how incumbent firms respond to entry and entry threats using nonprice modes of competition. Our analysis focuses on airline service quality. We find that incumbent on-time performance (OTP) actually worsens in response to entry, and even entry threats, by Southwest Airlines. Since Southwest is both a top-performing airline in OTP and a low-cost carrier (LCC), we conjecture that this response by incumbents may be due to a cost-cutting strategy that allows for intense postentry...
• Macroeconomic Volatilities and Long-Run Risks of Asset Prices AI翻译
  作者：Zhou, Guofu; Zhu, Yingzi
  作者单位：Washington University (WUSTL); Tsinghua University
  摘要：In this paper, motivated by existing and growing evidence on multiple macroeconomic volatilities, we extend the long-run risks model by allowing both a long-and a short-run volatility components in the evolution of economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various patterns, such as the size of ma...
• Corporate General Counsel and Financial Reporting Quality AI翻译
  作者：Hopkins, Justin J.; Maydew, Edward L.; Venkatachalam, Mohan
  作者单位：University of Virginia; University of North Carolina; University of North Carolina Chapel Hill; Duke University
  摘要：We examine the role of general counsel (GC) in firms' financial reporting quality. GCs have a broad oversight role within the firm, including keeping the firm in compliance with laws and regulations and dealing with potential violations with respect to financial reporting. Several high-profile U.S. Securities and Exchange Commission (SEC) investigations have resulted in lawsuits or indictments against GCs for perpetrating financial fraud and caused many to ask: where were the gatekeepers? As s...
• Competition in Portfolio Management: Theory and Experiment AI翻译
  作者：Asparouhova, Elena; Bossaerts, Peter; Copic, Jernej; Cornell, Brad; Cvitanic, Jaksa; Meloso, Debrah
  作者单位：Utah System of Higher Education; University of Utah; University of California System; University of California Los Angeles; California Institute of Technology; Bocconi University
  摘要：We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor-manager relationship is nonexclusive. Our theory predicts that competition forces managers to promise portfolios that mimic Arrow-Debreu (AD) securities, which investors then combine to fit their preferences. A weak version of the capital asset pricing model (CAPM) obtains, where state prices (relative to state probabilities) implicit in pric...
• Short-Selling Attacks and Creditor Runs AI翻译
  作者：Liu, Xuewen
  作者单位：Hong Kong University of Science & Technology
  摘要：This paper investigates the mechanism through which short selling of a bank's stocks can trigger the failure of the bank. In the model, creditors, who learn information from stock prices, will grow increasingly unsure about the bank's true fundamentals in facing noisier stock prices; thus a run on the bank is more likely because of creditors' concave payoff. Understanding this, speculators conduct short selling beforehand to amplify (il)liquidity and add noise to stock prices, triggering a ban...
• Bias in Spatial Risk Assessment AI翻译
  作者：Mishra, Himanshu; Mishra, Arul; Moreno, Oscar
  作者单位：Utah System of Higher Education; University of Utah
  摘要：In instances of decision making under uncertainty with a visual component, we propose that individuals show a bias and estimate a higher probability of a threat affecting them if the threat is located in their left visual field compared to their right visual field. Across four studies we demonstrate the bias in naturalistic settings such as pedestrians assessing the risk of crossing the street, individuals estimating the risk posed from an unsavory person, and people assessing the contaminatio...
• The Asset-Pricing Implications of Government Economic Policy Uncertainty AI翻译
  作者：Brogaard, Jonathan; Detzel, Andrew
  作者单位：University of Washington; University of Washington Seattle
  摘要：Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. An increase of one standard deviation in EPU is associated with a 1.5% increase in forecasted three-month abnormal returns (6.1% annualized). Furthermore, innovations in EPU earn a significant neg...
• The Value of Funds of Hedge Funds: Evidence from Their Holdings AI翻译
  作者：Aiken, Adam L.; Clifford, Christopher P.; Ellis, Jesse
  作者单位：Quinnipiac University; University of Kentucky; North Carolina State University
  摘要：We examine the portfolio holdings of funds of hedge funds (FoFs) to identify the channels through which FoFs add value for their clients. FoFs offer access to a diversified portfolio of funds that would be costly for constrained investors to manage on their own. Although we find only limited evidence that FoFs exhibit skill when selecting hedge funds, we find strong evidence that FoFs make skillful termination decisions. After FoFs divest from a hedge fund, those hedge funds subsequently under...
• Peers and Network Growth: Evidence from a Natural Experiment AI翻译
  作者：Hasan, Sharique; Bagde, Surendrakumar
  作者单位：Stanford University
  摘要：Much research suggests that social networks affect individual and organizational success. However, a strong assumption underlying this research is that network structure is not reducible to the individual attributes of social actors. In this article, we test this assumption by examining whether interacting with random peers causes exogenous growth of a person's network. Using three years of network data for students at an Indian college, we evaluate the effect of peers on network growth. We fi...
• Repeated Auctions with Budgets in Ad Exchanges: Approximations and Design AI翻译
  作者：Balseiro, Santiago R.; Besbes, Omar; Weintraub, Gabriel Y.
  作者单位：Duke University; Columbia University
  摘要：Ad exchanges are emerging Internet markets where advertisers may purchase display ad placements, in real time and based on specific viewer information, directly from publishers via a simple auction mechanism. Advertisers join these markets with a prespecified budget and participate in multiple second-price auctions over the length of a campaign. This paper studies the competitive landscape that arises in ad exchanges and the implications for publishers' decisions. The presence of budgets intro...