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作者：Chabi-Yo, Fousseni
作者单位：University System of Ohio; Ohio State University
摘要：I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases in the mar...
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作者：Seamans, Robert C.
作者单位：New York University
摘要：This article investigates how private firms respond to potential entry from public firms. This paper uses a data set of over 3,000 U.S. cable TV systems to present evidence consistent with entry deterrence. incumbent cable TV firms upgrade faster when located in markets with a potential municipal entrant. However, the same systems are then slower to offer new products enabled by the upgrade, suggesting upgrades in these markets occur for strategic reasons. Incumbent cable systems also upgrade ...
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作者：Harrison, J. Michael; Keskin, N. Bora; Zeevi, Assaf
作者单位：Stanford University; Columbia University
摘要：Motivated by applications in financial services, we consider a seller who offers prices sequentially to a stream of potential customers, observing either success or failure in each sales attempt. The parameters of the underlying demand model are initially unknown, so each price decision involves a trade-off between learning and earning. Attention is restricted to the simplest kind of model uncertainty, where one of two demand models is known to apply, and we focus initially on performance of t...
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作者：Ju, Nengjiu; Wan, Xuhu
作者单位：Hong Kong University of Science & Technology; Shanghai Jiao Tong University; Hong Kong University of Science & Technology
摘要：This paper studies the optimal contract between risk-neutral shareholders and a constant relative risk-aversion manager in a continuous-time model. Several interesting results are obtained. First, the optimal compensation is increasing but concave in output value if the manager is more risk averse than a log-utility manager. Second, when the manager has a log utility, a linear contract is optimal when there is no explicit lower bound on the compensation, and an option contract is optimal when ...
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作者：Posen, Hart E.; Levinthal, Daniel A.
作者单位：University of Michigan System; University of Michigan; University of Pennsylvania
摘要：A common justification for organizational change is that the circumstances in which the organization finds itself have changed, thereby eroding the value of utilizing existing knowledge. On the surface, the claim that organizations should adapt by generating new knowledge seems obvious and compelling. However, this standard wisdom overlooks the possibility that the reward to generating new knowledge may itself be eroded if change is an ongoing property of the environment. This observation in t...
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作者：Allon, Gad; Hanany, Eran
作者单位：Northwestern University; Tel Aviv University
摘要：Although the norm in many retail banks is to serve customers on a first-come, first-served basis, some customers try to cut the line, usually by providing an excuse for their urgency. In other queues, however, this behavior is considered unacceptable and is aggressively banned. In all of these cases, customer exhibit strategies that have not yet been explored in the operations literature: they choose whether or not to cut the line and must also decide whether to accept or reject such intrusion...
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作者：Chick, Stephen E.; Frazier, Peter
作者单位：INSEAD Business School; Cornell University
摘要：Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to solve such problems, called economics of selection procedures. The optimal procedure is derived for comparing a known standard with one alternative whose unknown reward is inferred with sampling. That res...
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作者：Taylor, James W.
作者单位：University of Oxford
摘要：A key input to the call center staffing process is a forecast for the number of calls arriving. Density forecasts of arrival rates are needed for analytical call center models, which assume Poisson arrivals with a stochastic arrival rate. Density forecasts of call volumes can be used in simulation models and are also important for the analysis of outsourcing contracts. A forecasting method, which has previously shown strong potential, is Holt-Winters exponential smoothing adapted for modeling ...
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作者：Jagannathan, Ravi; Marakani, Srikant; Takehara, Hitoshi; Wang, Yong
作者单位：Northwestern University; City University of Hong Kong; Waseda University; Hong Kong Polytechnic University
摘要：We show that when investors review their consumption and investment plans infrequently at different points in time with interim information flows, the standard consumption-based capital asset pricing model (CCAPM) will continue to hold only at those points in time when all investors review their plans. Stylized facts suggest that the end of the tax year is a candidate for one such points in time. Therefore, we should expect more support for the CCAPM during the period surrounding the end of th...
