-
作者：Broadie, Mark; Du, Yiping; Moallemi, Ciamac C.
作者单位：Columbia University
摘要：We analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk. Our algorithm sequentially allocates computational effort in the inner simulation based on marginal changes in the risk estima...
-
作者：Stecher, Jack; Shields, Timothy; Dickhaut, John
作者单位：Carnegie Mellon University; Chapman University System; Chapman University
摘要：This article develops a method for drawing samples from a distribution with no finite quantiles or moments. The method provides researchers with a way to give subjects the experience of ambiguity. In any experiment, learning the distribution from experience is impossible for the subjects, essentially because it is impossible for the experimenter. We characterize our method, illustrate it in simulations, and then test it in a laboratory experiment. Our method does not withhold sampling informat...
-
作者：Goldfarb, Avi; Tucker, Catherine E.
作者单位：University of Toronto; Massachusetts Institute of Technology (MIT)
摘要：Advertisers use online customer data to target their marketing appeals. This has heightened consumers' privacy concerns, leading governments to pass laws designed to protect consumer privacy by restricting the use of data and by restricting online tracking techniques used by websites. We use the responses of 3.3 million survey takers who had been randomly exposed to 9,596 online display (banner) advertising campaigns to explore how privacy regulation in the European Union (EU) has influenced a...
-
作者：Jones, Roy; Mendelson, Haim
作者单位：University of Rochester; Stanford University
摘要：We study markets for information goods and find that they differ significantly from markets for traditional industrial goods. Markets for information goods in which products are vertically differentiated lack the segmentation inherent in markets for industrial goods. As a result, a monopoly will offer only a single product. Competition leads to highly concentrated information-good markets, with the leading firm behaving almost like a monopoly even with free entry and without network effects. W...
-
作者：Gaur, Vishal; Seshadri, Sridhar; Subrahmanyam, Marti G.
作者单位：Cornell University; University of Texas System; University of Texas Austin; New York University
摘要：We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given reservation prices. The cash flows thus generated are not spanned by the securities traded in the financial market and cannot be valued uniquely. The intermediary purchases claims against these cash fl...
-
作者：Ding, Waverly W.
作者单位：University of California System; University of California Berkeley
摘要：This paper investigates the effect of founders' professional-education background on the adoption of an open-science technology strategy, using a sample of 512 young biotechnology firms. After controlling for founders' prior work experience and other organizational and environmental factors, I find that firms with proportionally more Ph.D.-holding entrepreneurs on the founding team have a higher probability of adopting open science. In addition, founders' educational background can mitigate th...
-
作者：Hossain, Tanjim; Minor, Dylan; Morgan, John
作者单位：University of Toronto; Northwestern University; University of California System; University of California Berkeley
摘要：Platform competition is ubiquitous, yet platform market structure is little understood. Theory models typically suffer from equilibrium multiplicity-platforms might coexist or the market might tip to either platform. We use laboratory experiments to study the outcomes of platform competition. When platforms are primarily vertically differentiated, we find that even when platform coexistence is theoretically possible, markets inevitably tip to the more efficient platform. When platforms are pri...
-
作者：Hellmann, Thomas; Perotti, Enrico
作者单位：University of British Columbia; University of Amsterdam
摘要：This paper models the generation, circulation, and completion of new ideas, showing how markets and innovative firms complement each other in a symbiotic relationship. Novel ideas are initially incomplete and require further insight before yielding a valuable innovation. Finding the complementary piece requires ideas to circulate, which creates appropriation risks. Circulation of ideas in markets ensures efficient completion, but because ideas can be appropriated, market entrepreneurs underinv...
-
作者：Giesecke, Kay; Kim, Baeho
作者单位：Stanford University; Korea University
摘要：This paper develops dynamic measures of the systemic risk of the financial sector as a whole. It defines systemic risk as the conditional probability of failure of a sufficiently large fraction of the total population of financial institutions. This definition recognizes that the cause of systemic distress is the correlated failure of institutions to meet obligations to creditors, customers, and trading partners. The likelihood estimators of the failure probability are based on a dynamic hazar...
-
作者：Goldfarb, Avi; Tucker, Catherine E.
作者单位：University of Toronto; Massachusetts Institute of Technology (MIT)
摘要：We explore substitution patterns across advertising platforms. Using data on the advertising prices paid by lawyers for 139 Google search terms in 195 locations, we exploit a natural experiment in ambulance-chaser regulations across states. When lawyers cannot contact clients by mail, advertising prices per click for search engine advertisements are 5%-7% higher. Therefore, online advertising substitutes for offline advertising. This substitution toward online advertising is strongest in marke...
