-
作者：Zhang, Chu
作者单位：Hong Kong University of Science & Technology
摘要：This paper develops a test of the asymptotic arbitrage pricing theory (APT) via the maximum squared Sharpe ratio of the factors extracted from individual stocks using the Connor-Korajczyk method. The test treats the beta pricing relation as approximate without predetermining the systematic factors, unlike the existing tests that take the relationship as exact and systematic factors as given. This paper also examines the magnitude of pricing errors bounded partly by the maximum squared Sharpe r...
-
作者：Allon, Gad; Federgruen, Awi
作者单位：Northwestern University; Columbia University
摘要：We develop a model for the competitive interactions in service industries where firms cater to multiple customer classes or market segments with the help of shared service facilities or processes so as to exploit pooling benefits. Different customer classes typically have distinct sensitivities to the price of service as well as the delays encountered. In such settings firms need to determine (i) the prices charged to all customer classes; (ii) the waiting time standards, i. e., expected stead...
-
作者：Christoffersen, Peter; Heston, Steven; Jacobs, Kris
作者单位：McGill University; Copenhagen Business School; CREATES; Aarhus University; University System of Maryland; University of Maryland College Park; University of Houston System; University of Houston
摘要：State-of-the-art stochastic volatility models generate a volatility smirk that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However, the data indicate that the slope and the level of the smirk fluctuate largely independently. Although single-factor stochastic volatility models can capture the slope of the smirk, they cannot explai...
-
作者：Kc, Diwas S.; Terwiesch, Christian
作者单位：Emory University; University of Pennsylvania
摘要：Much of prior work in the area of service operations management has assumed service rates to be exogenous to the level of load on the system. Using operational data from patient transport services and cardiothoracic surgery-two vastly different health-care delivery services-we show that the processing speed of service workers is influenced by the system load. We find that workers accelerate the service rate as load increases. In particular, a 10% increase in load reduces length of stay by two ...
-
作者：Krishna, Aradhna; Rajan, Uday
作者单位：University of Michigan System; University of Michigan
摘要：The number of firms carrying a cause-related product has significantly increased in recent years. We consider a duopoly model of competition between firms in two products to determine which products a firm will link to a cause. We first test the behavioral underpinnings of our model in two laboratory experiments to demonstrate the existence of both a direct utility benefit to consumers from cause marketing ( CM) and a spillover benefit onto other products in the portfolio. Linking one product ...
-
作者：Joshi, Yogesh V.; Reibstein, David J.; Zhang, Z. John
作者单位：University System of Maryland; University of Maryland College Park; University of Pennsylvania
摘要：Firms routinely face the challenging decision of whether to enter a new market where a firm's strong presence in an existing market has a positive influence (the leverage effect) on product adoption in the new market, but the reciprocal social influence on the existing market is negative (the backlash effect). In this paper, we show that a firm's optimal entry strategy in this situation cannot be characterized by the familiar now or never or now or at maturity strategies proposed in the litera...
-
作者：Saar-Tsechansky, Maytal; Melville, Prem; Provost, Foster
作者单位：University of Texas System; University of Texas Austin; International Business Machines (IBM); IBM USA; New York University
摘要：Most induction algorithms for building predictive models take as input training data in the form of feature vectors. Acquiring the values of features may be costly, and simply acquiring all values may be wasteful or prohibitively expensive. Active feature-value acquisition (AFA) selects features incrementally in an attempt to improve the predictive model most cost-effectively. This paper presents a framework for AFA based on estimating information value. Although straightforward in principle, ...
-
作者：Yim, Andrew
作者单位：Tilburg University
摘要：Strategic models of auditor-inspectee interaction have neglected implementation details in multiple-inspectee settings. With multiple inspectees, the target audit probability derived from the standard analysis can be implemented with sampling plans differing in the budgets committed to support them. Overly committed audit budgets tie up unneeded resources that could have been allocated for better uses. This paper studies the minimum committed budget required to implement a target audit probabi...
-
作者：Fay, Scott; Laran, Juliano
作者单位：Syracuse University; University of Miami
摘要：The seller's threshold price in name-your-own-price auctions varies over time. However, consumers must bid without knowing when these variations occur because the threshold price is unobservable to them. This paper uses an analytical model and laboratory auctions to explore how the frequency of changes in the threshold price impacts consumer bidding behavior in name-your-own-price auctions. In particular, we consider how the frequency of these expected changes affects the optimal pattern of bi...
-
作者：Karim, Samina
作者单位：Boston University
摘要：This paper empirically examines how business unit reorganization affects innovation, and explores how the learning process may mediate this relationship. Unit reorganization is the creation, deletion, or recombination of business units within a firm. Innovation is radical and involves product market entry by a firm into markets in which it was not previously active. I test competing hypotheses that predict either a U-shape or inverted U-shape relationship between reorganization and innovation ...
