11期

最新文章

• A Continuous Time Framework for Sequential Goal-Based Wealth Management AI翻译
  作者：Capponi, Agostino; Zhang, Yuchong
  作者单位：Columbia University; University of Toronto
  摘要：We develop a continuous time framework for sequential goals-based wealth management. A stochastic factor process drives asset price dynamics and the client's goal amount and income. We prove the weak dynamic programming principle for the value function of our control problem, which we show to be the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We develop an equivalent and computationally efficient representation of the Hamiltonian, which yields the optimal p...
• Incentive Auction Design Alternatives: A Simulation Study AI翻译
  作者：Newman, Neil; Leyton-Brown, Kevin; Milgrom, Paul; Segal, Ilya
  作者单位：University of British Columbia; Stanford University
  摘要：This paper revisits the descending clock reverse auction design used in the U.S. Federal Communications Commission's 2016-2017 incentive auction. We use extensive computational simulations to investigate the quantitative significance of various aspects of the design, leveraging a reverse auction simulator and realistic models of bidder values.
• Political Influence, Bank Capital, and Credit Allocation AI翻译
  作者：Huang, Sheng; V. Thakor, Anjan
  作者单位：China Europe International Business School; Washington University (WUSTL); European Corporate Governance Institute
  摘要：Political influence on bank credit allocation is often viewed as being necessary to address social problems like income inequality. We hypothesize that such influence elicits bank capital responses. Our hypothesis yields three testable predictions for which we find supporting evidence. First, when banks observe election outcomes that suggest greater impending political credit -allocation influence, they reduce capital to increase fragility and deter political influence. Second, banks subject t...
• Risk Hedging and Loan Covenants AI翻译
  作者：Babenko, Ilona; Bessembinder, Hendrik; Tserlukevich, Yuri
  作者单位：Arizona State University; Arizona State University-Tempe
  摘要：We study lending agreements and derivative positions of U.S. oil and gas producers, showing that loan covenants are important determinants of hedging policies. Hedging covenants appear in more than 85% of sample loan agreements, with explicit minimum hedging requirements in more than half. Covenants are more common when expected default costs are larger. The well-documented positive relation between borrowing and hedging is largely attributable in our sample to binding covenants, as the relati...
• How Do Consumers Interact with Digital Expert Advice? Experimental Evidence from Health Insurance AI翻译
  作者：Bundorf, M. Kate; Polyakova, Maria; Tai-Seale, Ming
  作者单位：Duke University; National Bureau of Economic Research; Stanford University; University of California System; University of California San Diego
  摘要：Consumers increasingly use digital advice when making purchasing decisions. How do such tools change consumer behavior and what types of consumers are likely to use them? We examine these questions with a randomized controlled trial of digital expert advice in the context of prescription drug insurance. The intervention we study was effective at changing consumer choices. We propose that, conceptually, expert advice can affect consumer choices through two distinct channels: by updating consume...
• How Large are Predefault Costs of Financial Distress? Estimates from a Dynamic Model AI翻译
  作者：Elkamhi, Redouane; Kim, Daniel; Salerno, Marco
  作者单位：University of Toronto; University of Waterloo
  摘要：We estimate the costs of financial distress prior to default (predefault costs) separately from the loss incurred at default (the loss given default) using a dynamic tradeoff model of capital structure. We show that predefault costs account for a large fraction of total distress costs, approximately 64.1%. At the same time, they vary across industries ranging from 32.1% to 75%. We demonstrate that the expected predefault costs of financial distress vary significantly across industries with a r...
• Understanding Cooperation in an Intertemporal Context AI翻译
  作者：Koelle, Felix; Lauer, Thomas
  作者单位：University of Cologne; University of Erfurt
  摘要：Cooperation between individuals, a critical component of organizational and societal success, typically involves costs and benefits that accrue at different points in time. Using a series of controlled experiments, this paper provides a comprehensive analysis of the determinants of cooperation in an intertemporal context. Our findings demonstrate that cooperation is significantly reduced when the benefits of cooperation are shifted into the future, whereas delaying costs leads to an increase i...
• Probabilistic Outcomes Are Valued Less in Expectation, Even Conditional on Their Realization AI翻译
  作者：Paolacci, Gabriele; Andre, Quentin
  作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Colorado System; University of Colorado Boulder
  摘要：Most theories of decision making under risk assume that payoffs and probabilities are separable. In the context of a lottery, the subjective value of a prospective outcome (the payoff) is assumed to be independent of the likelihood that the outcome will occur (the probability). In violation of this assumption, we present eight experiments showing that people anticipate less utility from uncertain outcomes than from certain outcomes, even conditional on their realization. The devaluation of unc...
• Safe Bets, Long Shots, and Toss-Ups: Strategic Engagements Between Activists and Firms AI翻译
  作者：Holburn, Guy L. F.; Maxwell, John W.; Bonardi, Jean-Philippe
  作者单位：Western University (University of Western Ontario); Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Lausanne
  摘要：We use a game-theoretic model to examine how different types of activist motivation affect strategic interactions between an activist and a firm in the context of a threatened adversarial engagement, in which the activist can benefit from warm glow and media publicity as well as from firm compliance with activist demands. The model yields novel predictions about when firms prefer to self-regulate to pre-empt a contested engagement, how vigorously firms defend themselves against the activist's ...
• Overconfidence in Probability Distributions: People Know They Don't Know, but They Don't Know What to Do About It AI翻译
  作者：Soll, Jack B.; Palley, Asa B.; Klayman, Joshua; Moore, Don A.
  作者单位：Duke University; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; University of Chicago; University of California System; University of California Berkeley
  摘要：Overconfidence is pervasive in subjective probability distributions (SPDs). We develop new methods to analyze judgments that entail both a distribution of possible outcomes in a population (aleatory uncertainty) and imperfect knowledge about that distribution (epistemic uncertainty). In four experiments, we examine the extent to which subjective probability mass is concentrated in a small portion of the distribution versus spread across all possible outcomes. We find that although SPDs roughly...