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作者：Maio, Paulo
作者单位：Hanken School of Economics
摘要：This paper derives and tests an intertemporal capital asset pricing model (ICAPM) based on a conditional version of the Campbell-Vuolteenaho two-beta ICAPM (bad beta, good beta (BBGB)). The novel factor is a scaled cash-flow factor that results from the interaction between cash-flow news and a lagged state variable (market dividend yield or consumer price index inflation). The cross-sectional tests over 10 portfolios sorted on size, 10 portfolios sorted on book-to-market, and 10 portfolios sor...
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作者：Duenyas, Izak; Hu, Bin; Beil, Damian R.
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：This paper studies an optimal procurement mechanism for a newsvendor-like problem where the buyer's (newsvendor's) purchase price of the supplies is not fixed, but determined through interaction with candidate suppliers. The buyer has priors on the suppliers' costs but does not know their costs exactly. Recent literature has shown how the buyer can implement the optimal procurement mechanism by announcing a revenue function (specifying a payment for each quantity the buyer may purchase), then ...
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作者：Lee, Eunkyu; Staelin, Richard; Yoo, Weon Sang; Du, Rex
作者单位：Syracuse University; Duke University; Korea University; University of Houston System; University of Houston
摘要：In today's multibrand, multichannel marketplace, optimal channel design involves issues such as distribution intensity, channel exclusivity, vertical and horizontal coordination, and online offline mixed structures. We investigate how a firm's choice in these design issues affects its profitability under varying levels of brand and outlet differentiation. Our spatial model explicitly captures heterogeneous consumer preference for brand position, store location, and outlet type, under various c...
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作者：Shriver, Scott K.; Nair, Harikesh S.; Hofstetter, Reto
作者单位：Columbia University; Stanford University; University of St Gallen
摘要：We exploit changes in wind speeds at surfing locations in Switzerland as a source of variation in users' propensity to post content about their surfing activity on an online social network. We exploit this variation to test whether users' online content-generation activity is codetermined with their social ties. Economically significant effects of this type can produce positive feedback that generates local network effects in content generation. When quantitatively significant, the increased c...
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作者：Agarwal, Vikas; Fos, Vyacheslav; Jiang, Wei
作者单位：University System of Georgia; Georgia State University; University of Cologne; University of Illinois System; University of Illinois Urbana-Champaign; Columbia University
摘要：This paper formally analyzes the biases related to self-reporting in hedge fund databases by matching the quarterly equity holdings of a complete list of 13F-filing hedge fund companies to the union of five major commercial databases of self-reporting hedge funds between 1980 and 2008. We find that funds initiate self-reporting after positive abnormal returns that do not persist into the reporting period. Termination of self-reporting, is followed by both return deterioration and outflows from...
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作者：Adelman, Daniel; Mersereau, Adam J.
作者单位：University of Chicago; University of North Carolina; University of North Carolina Chapel Hill
摘要：We study the problem faced by a supplier deciding how to dynamically allocate limited capacity among a portfolio of customers who remember the fill rates provided to them in the past. A customer's order quantity is positively correlated with past fill rates. Customers differ from one another in their contribution margins, their sensitivities to the past, and in their demand volatilities. By analyzing and comparing policies that ignore goodwill with ones that account for it, we investigate when...
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作者：Chen, Hua; Lim, Noah
作者单位：University of Mississippi; University of Wisconsin System; University of Wisconsin Madison
摘要：When designing contests to motivate employees, should managers organize employees to compete in teams or as individuals? We develop a behavioral economics model that shows that if contestants are averse to being responsible for the team's loss, a team-based (TB) contest can yield higher effort than an individual-based (IB) contest. This prediction is contrary to those of standard economics models, which favor IB contests over TB contests. We test the competing predictions using laboratory econ...
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作者：Bhargava, Hemant K.
作者单位：University of California System; University of California Davis
摘要：This paper develops analytical results and insights for the mixed bundling problem of pricing a product line consisting of two component goods (with valuations distributed uniformly and independently in [0, a(1)] and [0, a(2)], respectively, with a(1) < a(2)) and a bundle of the two goods. This setting has previously been considered analytically intractable. By deriving component good prices as exact algebraic functions of the optimal bundle price, I reduce the multiproduct pricing problem to ...
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作者：Cen, Ling; Lu, Hai; Yang, Liyan
作者单位：University of Toronto
摘要：We study the cross-sectional breadth-return relation by assuming that investors subject to market sentiment hold a biased belief in the aggregate. With a dynamic multiasset model, we predict that the breadth-return relationship can be either positive or negative depending on the relative strength of two offsetting forces-disagreement and sentiment. We find evidence consistent with our predictions. The breadth-return relationship is positive when the sentiment effect is small. However, the rela...
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作者：Bick, Bjoern; Kraft, Holger; Munk, Claus
作者单位：Goethe University Frankfurt; Copenhagen Business School
摘要：Utility-maximizing consumption and investment strategies in closed form are unknown for realistic settings involving portfolio constraints, incomplete markets, and potentially a high number of state variables. Standard numerical methods are hard to implement in such cases. We propose a numerical procedure that combines the abstract idea of artificial, unconstrained complete markets, well-known closed-form solutions in affine or quadratic return models, straightforward Monte Carlo simulation, a...
