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作者：Carmona, Rene; Hinz, Juri
作者单位：Princeton University; Princeton University; National University of Singapore
摘要：The existence of mandatory emission trading schemes in Europe and the United States, and the increased liquidity of trading on futures contracts on CO2 emissions allowances, led naturally to the next step in the development of these markets: These futures contracts are now used as underliers for a vibrant derivative market. In this paper, we give a rigorous analysis of a simple risk-neutral reduced-form model for allowance futures prices, demonstrate its calibration to historical data, and sho...
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作者：Brynjolfsson, Erik; Hu, Yu (Jeffrey); Simester, Duncan
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Purdue University System; Purdue University
摘要：Many markets have historically been dominated by a small number of best-selling products. The Pareto principle, also known as the 80/20 rule, describes this common pattern of sales concentration. However, information technology in general and Internet markets in particular have the potential to substantially increase the collective share of niche products, thereby creating a longer tail in the distribution of sales. This paper investigates the Internet's long tail phenomenon. By analyzing data...
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作者：Archak, Nikolay; Ghose, Anindya; Ipeirotis, Panagiotis G.
作者单位：New York University
摘要：Increasingly, user-generated product reviews serve as a valuable source of information for customers making product choices online. The existing literature typically incorporates the impact of product reviews on sales based on numeric variables representing the valence and volume of reviews. In this paper, we posit that the information embedded in product reviews cannot be captured by a single scalar value. Rather, we argue that product reviews are multifaceted, and hence the textual content o...
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作者：Galasso, Alberto; Simcoe, Timothy S.
作者单位：University of Toronto; Boston University
摘要：Are the attitudes and beliefs of chief executive officers (CEOs) linked to their firms' innovative performance? This paper uses a measure of overconfidence, based on CEO stock-option exercise, to study the relationship between a CEO's revealed beliefs about future performance and standard measures of corporate innovation. We begin by developing a career concern model where CEOs innovate to provide evidence of their ability. The model predicts that overconfident CEOs, who underestimate the prob...
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作者：Jing, Xiaoqing; Xie, Jinhong
作者单位：University System of Georgia; Georgia Institute of Technology; State University System of Florida; University of Florida
摘要：This paper examines a unique selling strategy, Group Buying, under which consumers enjoy a discounted group price if they are willing and able to achieve a required group size and coordinate their transaction time. We argue that Group Buying allows a seller to gain from facilitating consumer social interaction, i.e., using a group discount to motivate informed customers to work as sales agents to acquire less-informed customers through interpersonal information/knowledge sharing. We formally m...
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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...
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作者：Aid, Rene; Chemla, Gilles; Porchet, Arnaud; Touzi, Nizar
作者单位：Imperial College London; Centre for Economic Policy Research - UK; Universite PSL; Universite Paris-Dauphine; Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; Ecole Polytechnique; ENSTA Paris
摘要：This paper analyzes the interactions between competitive (wholesale) spot, retail, and forward markets and vertical integration in electricity markets. We develop an equilibrium model with producers, retailers, and traders to study and quantify the impact of forward markets and vertical integration on prices, risk premia, and retail market shares. We point out that forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both redu...
