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作者：Cui, Yao; Duenyas, Izak; Sahin, Oezge
作者单位：University of Michigan System; University of Michigan; Johns Hopkins University
摘要：We are interested in whether preventing resale of tickets benefits the capacity providers for sporting and entertainment events. Common wisdom suggests that ticket resale is harmful to event organizers' revenues, and event organizers have tried to prevent resale of tickets. For instance, Ticketmaster recently proposed paperless (nontransferrable) ticketing, which would severely limit the opportunity to resell tickets. We consider a model that allows resale from both consumers and speculators w...
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作者：Curtis, Asher; Fargher, Neil L.
作者单位：University of Washington; University of Washington Seattle; Australian National University
摘要：Critics of short selling argue that short sellers amplify price declines by targeting firms with falling prices in an unwarranted manner. Contrary to this viewpoint, we find that increases in short interest for firms following a price decline are associated with measures of overpricing based on financial statement analysis. Our results extend to short-selling activity following marketwide declines. We also find evidence consistent with the profitability of short selling following price decline...
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作者：Gallego, Guillermo; Talebian, Masoud
作者单位：Columbia University; University of Newcastle
摘要：We consider a game between two capacity providers that compete for customers through a broker who earns commissions on sales and sells to both loyal and nonloyal customers. The providers compete by selecting commission margins and sales targets above which the margins on total sales increase. We study the contract form in equilibrium and the effect that sales targets have on the profit split between the providers and the broker. We show that in equilibrium, contracts require positive sales tar...
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作者：Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry
作者单位：Stanford University; Korea University; JP Morgan Chase & Company; University of Pennsylvania
摘要：This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact timing of protection premium and default loss payments, as well as any mark-to-market profits and losses realized at the horizon. The constraints address collateral and solvency requirements, initial capi...
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作者：Elkamhi, Redouane; Pungaliya, Raunaq S.; Vijh, Anand M.
作者单位：University of Toronto; Sungkyunkwan University (SKKU); University of Iowa
摘要：This paper proposes a new methodology to infer investors' expectations about the speed of leverage adjustment implicit in the prices of credit instruments. On average, the credit markets imply a fairly rapid annual speed of adjustment of 26% toward a firm's predicted leverage. The speed varies considerably across partitions formed by the differential implications of the pecking order, market timing, and trade-off theories of capital structure. This finding suggests that investors' expectations...
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作者：Christoffersen, Peter; Dorion, Christian; Jacobs, Kris; Karoui, Lotfi
作者单位：University of Toronto; Copenhagen Business School; CREATES; Universite de Montreal; HEC Montreal; University of Houston System; University of Houston
摘要：The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, ...
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作者：Chava, Sudheer
作者单位：University System of Georgia; Georgia Institute of Technology
摘要：I analyze the impact of a firm's environmental profile on its cost of equity and debt capital. Using implied cost of capital derived from analysts' earnings estimates, I find that investors demand significantly higher expected returns on stocks excluded by environmental screens (such as hazardous chemical, substantial emissions, and climate change concerns) compared to firms without such environmental concerns. Lenders also charge a significantly higher interest rate on the bank loans issued t...
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作者：Nan, Lin; Wen, Xiaoyan
作者单位：Purdue University System; Purdue University; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：In this paper, we investigate the effect of accounting biases on firms' financing decisions and the role of accounting biases in endogenous information quality. We show that in industries with generally low-profit prospects, a downward-biased accounting system performs better than a neutral accounting system, and a more downward bias helps mitigate both investment and financing inefficiency; whereas for industries with generally high-profit prospects, an upward-biased accounting system is bett...
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作者：Huang, Yan; Singh, Param Vir; Srinivasan, Kannan
作者单位：University of Michigan System; University of Michigan; Carnegie Mellon University
摘要：We propose a dynamic structural model that illuminates the economic mechanisms shaping individual behavior and outcomes on crowdsourced ideation platforms. We estimate the model using a rich data set obtained from IdeaStorm.com, a crowdsourced ideation initiative affiliated with Dell. We find that, on IdeaStorm.com, individuals tend to significantly underestimate the costs to the firm for implementing their ideas but overestimate the potential of their ideas in the initial stages of the crowds...
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作者：Li, Jun; Granados, Nelson; Netessine, Serguei
作者单位：University of Michigan System; University of Michigan; Pepperdine University; INSEAD Business School
摘要：Consumers often consider delaying a purchase strategically, anticipating that prices might decrease. Combining two unique data sources from the air-travel industry (posted fare data and booking data), we use a structural model to estimate the fraction of strategic consumers in the population, assuming different levels of sophistication in consumers' perception of future prices: perfect foresight and weak-and strong-form rational expectations. We find that 5.2% to 19.2% of the population is str...
