-
作者：Bonardi, Jean-Philippe; Gallea, Quentin; Kalanoski, Dimitrija; Lalive, Rafael
作者单位：University of Lausanne; University of Manchester; Alliance Manchester Business School
摘要：Containing a pandemic is first and foremost a management problem: one has to find ways to reduce mobility and physical contacts in order to slow down the spread of the virus. We discuss and construct a novel database of internal and external lockdown measures around the world and analyze whether they helped reduce the spread of infections and the number of deaths. We address the endogeneity of lockdowns by modeling anticipation effects. Our data cover 178 countries in the period from December ...
-
作者：Avramov, Doron; Cheng, Si; Metzker, Lior
作者单位：Reichman University; Syracuse University; Hebrew University of Jerusalem
摘要：This paper shows that investments based on deep learning signals extract profitability from difficult-to-arbitrage stocks and during high limits-to-arbitrage market states. In particular, excluding microcaps, distressed stocks, or episodes of high market volatility considerably attenuates profitability. Machine learning-based performance further deteriorates in the presence of reasonable trading costs because of high turnover and extreme positions in the tangency portfolio implied by the prici...
-
作者：Crane, Alan; Crotty, Kevin; Umar, Tarik
作者单位：Rice University
摘要：Hedge funds actively acquire publicly available financial disclosures. Funds acquiring such information subsequently earn 1.5% higher annualized abnormal returns than nonacquirers. Trades by the same fund in the same quarter are more profitable when accompanied by public information acquisition. Acquiring public filings is relatively less profitable when macrouncertainty is high. Funds employ a wide range of strategies for acquiring public filings. Those that systematically scrape large volume...
-
作者：Yang, Xufeng; Zhang, Juliang; Wen, Jiao; Yan, Hong
作者单位：Beijing Jiaotong University; Zhejiang Shuren University
摘要：In this paper, we consider a container leasing firm that has elementary and premium containers, which are downward substitutable and for use by elementary contract customers (ECCs), premium contract customers (PCCs), as well as walk-in customers (WICs). ECCs can be satisfied by elementary containers or premium ones at discounted prices while PCCs only accept premium containers. WICs can be satisfied by any type of container at different prices. The objective is to maximise the expected total r...
-
作者：Serra-Garcia, Marta; Szech, Nora
作者单位：University of California System; University of California San Diego; Helmholtz Association; Karlsruhe Institute of Technology
摘要：Willingness to vaccinate and test are critical in the COVID-19 pandemic. We study the effects of two measures to increase the support of vaccination and testing: defaults and monetary compensations. Some organizations, such as restaurants, fire departments, hospitals, or governments in some countries, have used these measures. Yet there is the concern that compensations could erode intrinsic motivation and decrease vaccination intentions. We show that, in the early stages of the pandemic, both...
-
作者：Adler, Jost
作者单位：University of Duisburg Essen
摘要：In their 2012 paper, Bemmaor and Glady introduced the gamma/Gompertz/negative binomial distribution model for customer base analysis. Their model uses exponentially distributed interpurchase times and a Gompertz distributed customer lifetime, where the latter distribution is nonmemoryless. This comment corrects an error in their expression for the conditional expected number of individual future purchases E(x(i)*) in a forecasting interval of length T*. Contrary to their approach, the correct ...
-
作者：Atanasov, Vladimir; Merrick, John J., Jr.; Schuster, Philipp
作者单位：University of Stuttgart
摘要：We study mismarking of newly purchased odd lot and two classes of round lot structured product positions in mutual funds. Such mismarking artificially inflates net asset values and overstates cumulative returns. Applied to funds launched after January 2010, a simulation-tested mismarking fund filter identifies 12 Highly Questionable funds managing $75 billion. The performance of these funds matches closely the predicted pattern of mismarking: extremely high alpha and skewness, particularly imm...
-
作者：Hasler, Michael; Martineau, Charles
作者单位：University of Texas System; University of Texas Dallas; University of Toronto; University of Toronto; University Toronto Scarborough
摘要：When the cost of hedging is nil, the conditional capital asset pricing model (CAPM) holds. We empirically test the conditional CAPM by regressing asset returns onto the product of their conditional betas and market returns. Estimated intercepts are not statistically different from zero, implying that the conditional CAPM successfully explains the conditional level of asset returns. Yet, unconditional betas do not explain the cross section of average asset returns; the unconditional CAPMfails. ...
-
作者：An, Yu; Zheng, Zeyu
作者单位：Johns Hopkins University; University of California System; University of California Berkeley
摘要：Dealers can choose between two intermediation methods: providing immediacy to customers using their own inventory and making matches between customers' order flows. We show that dealers have an incentive to prioritize inventory turnover for immediacy provision rather than making matches between customers. Compared with a counterfactual scenario without this incentive, dealers in equilibrium provide immediacy to more customers in order to extract extra rents. Compared with the counterfactual, t...
-
作者：Hai Long Duong; Chu, Junhong; Yao, Dai
作者单位：National University of Singapore; Hong Kong Polytechnic University
摘要：We study how daily labor supply responds to unanticipated earnings shocks among Singapore's taxi drivers using a novel identification strategy that uses idiosyncratic variation in booking cancellations and passenger no-shows (CNS) that drivers repeatedly receive. Our results provide new and more compelling evidence in support of the income-targeting model of labor supply. Not only are the average responses on the extensive margin consistent with the income-targeting model, but the responses on...
