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作者：Rodriguez, Fabrizio
作者单位：Universidad de Montevideo
摘要：This note critically analyzes the conditions for equilibrium existence in a model involving incentive schemes and inventory management. It identifies a technical flaw where equilibrium is asserted to exist under certain parameter values when, in fact, it does not. However, by introducing a reasonable assumption that inventory can only be ordered in sufficiently large increments, the qualitative outcomes and key insights remain intact.
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作者：Corgnet, Brice; Desantis, Mark; Porter, David
作者单位：emlyon business school; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; Chapman University System; Chapman University
摘要：The growing prevalence of stock market chat rooms and social media suggests that communication between traders may affect market outcomes. Using data from a series of laboratory experiments, we study the causal effect of trader communication on market efficiency. We show that communication allows markets to convey private information more effectively. This effect is robust to a wide range of information settings. The presence of insiders limits the impact, whereas posted reputation scores in t...
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作者：Mkrtchyan, Anahit; Sandvik, Jason; Zhu, Vivi Z.
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Arizona; Southern Methodist University
摘要：We investigate the increasingly common practice of chief executive officers (CEOs) taking public stances on social and political issues (CEO activism). We find that CEO activism stems from a CEO's personal ideology and its alignment with investor, employee, and customer ideologies. We show that CEO activism results in positive market reactions. Furthermore, firms with CEO activism realize increased shareholdings from investors with a greater liberal leaning, who rebalance their portfolios towa...
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作者：Fan, Qintao; Johnson, Nicole
作者单位：University of Oregon
摘要：Simple contest schemes, which tend to use extreme contemporaneous peer benchmarking, are generally thought to be less efficient at motivating productive and cooperative effort than explicit bonus contracts that optimally weight observed own and peer outputs. We show, however, that contest schemes can outperform explicit bonus contracts in a two-period dynamic setting if periodic output is correlated over time, and contract terms can be renegotiated. In our model, all parties update their belie...
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作者：Nogueira, Gil; Farinha, Luisa; Blattner, Laura
作者单位：Banco de Portugal; Stanford University
摘要：We provide evidence that the yield impact of unconventional monetary policy is not a sufficient statistic to measure the strength of the bank lending channel of unconventional monetary policy. As a laboratory, we study three major positive events in the European sovereign debt crisis-the Greek debt restructuring (private sector involvement (PSI)), outright monetary transactions (OMT), and quantitative easing (QE)-using credit registry and security-level bank balance sheet data from Portugal, a...
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作者：Cao, Ruiqing; Koning, Rembrand; Nanda, Ramana
作者单位：Stockholm School of Economics; Harvard University; Imperial College London
摘要：Using data from a prominent online platform for launching new digital products, we document that sampling bias-defined as the difference between a startup's target customer base and the actual sample on which early beta tests are conducted- has a systematic and persistent impact on the venture's success. Specifically, we show that products with a female-focused target market launching on a typical day, when nine in 10 users on this platform are men, experience 45% less growth a year after laun...
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作者：Simchi-Levi, David; Sun, Rui; Wu, Michelle Xiao; Zhu, Ruihao
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Amazon.com; Cornell University
摘要：Motivated by our collaboration with Anheuser-Busch InBev (AB InBev), a consumer packaged goods (CPG) company, we consider the problem of forecasting sales under the coronavirus disease 2019 (COVID-19) pandemic. Our approach combines non parametric regression, game theory, and pandemic modeling to develop a data-driven competitive online nonparametric regression method. Specifically, the method takes the future COVID-19 case estimates, which can be simulated via the susceptible-infectious-remov...
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作者：Chabi-Yo, Fousseni; Loudis, Johnathan A.
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of Notre Dame
摘要：We develop a methodology to decompose the conditional market risk premium and risk premia on higher-order moments of excess market returns into risk premia related to contingent claims on down, up, and moderate market returns. The decomposition exploits information about the risk-neutral market return distribution embedded in option prices, but does not depend on assumptions about the functional form of investor preferences or about the market return distribution. The total market risk premium...
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作者：Cui, Liyuan; Hong, Yongmiao; Li, Yingxing; Wang, Junhui
作者单位：City University of Hong Kong; Chinese Academy of Sciences; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Chinese Academy of Sciences; University of Chinese Academy of Sciences, CAS; Cornell University; Xiamen University; Chinese University of Hong Kong
摘要：This paper proposes a novel large-dimensional positive definite covariance estimator for high-frequency data under a general factor model framework. We demonstrate an appealing connection between the proposed estimator and a weighted group least absolute shrinkage and selection operator (LASSO) penalized least-squares estimator. The proposed estimator improves on traditional principal component analysis by allowing for weak factors, whose signal strengths are weak relative to idiosyncratic com...
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作者：Freeman, Rupert; Witkowski, Jens; Vaughan, Jennifer Wortman; Pennock, David M.
作者单位：University of Virginia; Frankfurt School Finance & Management; Microsoft; Rutgers University System; Rutgers University New Brunswick
摘要：We draw a surprising and direct mathematical equivalence between the class of fair division mechanisms, designed to allocate divisible goods without money, and the class of weakly budget-balanced wagering mechanisms, designed to elicit probabilities. Although this correspondence between fair division and wagering has applications in both settings, we focus on its implications for the design of incentive-compatible fair division mechanisms. In particular, we show that applying the correspondenc...
