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作者：Johnson, Johnnie E. V.; Jones, Owen; Tang, Leilei
作者单位：University of Southampton; University of Melbourne
摘要：We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horse race betting market is an ideal environment to explore these issues. A conditional logit model is constructed to determine winning probabilities based on bookmakers' closing prices and the time-indexed movement of prices to the market close. We incorporate a technique for extracting predictors from price (odds) curves using ...
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作者：DeSarbo, Wayne S.; Di Benedetto, C. Anthony; Jedidi, Kamel; Song, Michael
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Columbia University; University of Missouri System; University of Missouri Kansas City; Eindhoven University of Technology
摘要：The resource-based view (RBV) of the firm suggests that strategic deployment of capabilities allows strategic business units (SBUs) to exploit distinctive competencies and create sustainable competitive advantage. Following the RBV, we propose a new predictive methodology for deriving typologies of SBUs that accommodates heterogeneity among SBUs with respect to their strategic capabilities, how effectively they are employed, and performance. Statistically, we devise a constrained finite-mixtur...
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作者：Jin, Xing; Zhang, Allen X.
作者单位：University of Warwick; Freddie Mac
摘要：Quasi-Monte Carlo methods overcome the problem of sample clustering in regular Monte Carlo simulation and have been shown to improve simulation efficiency in the derivatives pricing literature when the price is expressed as a multidimensional integration and the integrand is suitably smooth. For portfolio value-at-risk (VaR) problems, the distribution of portfolio value change is based on the expectation of an indicator function, hence the integrand is discontinuous. The purpose of this paper ...
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作者：Liu, Sheen X.; Qi, Howard; Wu, Chunchi
作者单位：University System of Ohio; Youngstown State University; Michigan Technological University; Singapore Management University; Syracuse University
摘要：Term structure models have often been criticized for failing to explain satisfactorily the yield spread between corporate and Treasury bonds. A potential problem is that the personal tax effect is ignored in these models. In this paper, we employ a structural model to investigate the role of personal taxes on both debt and equity returns in capital structure decisions and assess their impact on corporate bond yield spreads. It is shown that personal taxes affect the firm's optimal capital stru...
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作者：Cachon, Gerard P.; Zhang, Fuqiang
作者单位：University of Pennsylvania; University of California System; University of California Irvine
摘要：This paper studies a queuing model in which a buyer sources a good or service from a single supplier chosen from a pool of suppliers. The buyer seeks to minimize the sum of her procurement and operating costs, the latter of which depends on the supplier's lead time. The selected supplier can regulate his lead time, but faster lead times are costly. Although the buyer selects the supplier to source from (possibly via an auction) and dictates the contractual terms, the buyer's bargaining power i...
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作者：Gurnani, Haresh; Shi, Mengze
作者单位：University of Miami; University of Toronto
摘要：We consider the case of a first-time interaction between a buyer and a supplier who is unreliable in delivery The supplier declares her estimate of the ability to meet the order obligations, but the buyer may have a different estimate, which may be higher or lower than the supplier's estimate. We derive the Nash bargaining solution and discuss the role of using a down-payment or nondelivery penalty in the contract. For the case of buyer overtrust, the down-payment contract maximizes channel pr...
