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作者：Bretscher, Lorenzo; Hsu, Alex; Tamoni, Andrea
作者单位：Swiss Finance Institute (SFI); University of Lausanne; University System of Georgia; Georgia Institute of Technology; Rutgers University System; Rutgers University New Brunswick; Rutgers University Newark
摘要：Uncertainty shocks are also risk premium shocks. With countercyclical risk aversion (RA), a positive shock to uncertainty increases risk and elevates RA as consumption growth falls. The combination of high RA and high uncertainty produces significant equity risk premia in bad times, which in turn, exacerbate the decline of macroeconomic aggregates and equity prices. Moreover, in the cross-section of equity returns, investors demand a risk premium for stocks that perform poorly in times of high...
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作者：Liu, Meng; Tang, Xiaocheng; Xia, Siyuan; Zhang, Shuo; Zhu, Yuting; Meng, Qianying
作者单位：Washington University (WUSTL); Shanghai Jiao Tong University; National University of Singapore
摘要：The low rate of adoption by human users often hinders AI algorithms from achieving their intended efficiency gains. This is particularly true for algorithms that prioritize system-wide objectives because they can create misalignment of incentives and cause confusion among potential users. We provide one of the first large-scale field studies on algorithm aversion by leveraging an algorithmic recommendation rollout on a large ride sharing platform. We identify contextual experience and herding ...
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作者：Fu, Shiming; Trigilia, Giulio
作者单位：Shanghai University of Finance & Economics; University of Rochester
摘要：We study a dynamic moral hazard setting where the manager has private evi-dence that predicts the firm's cash flows. Bad-news disclosure is rewarded by a lower bor-rowing cost relative to the no-evidence case, whereas no disclosure leads to higher borrowing costs. For a given capital structure, disclosure reduces the firm's default risk by lowering its pay-for-performance sensitivity. However, for a set of low-profitability firms, the anticipation of future disclosure of information by manager...
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作者：Cornaggia, Kimberly; Hund, John; Nguyen, Giang
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Georgia; University of Georgia
摘要：Economic theory predicts that bond insurance lowers issuers' financing costs by resolving asymmetric information and mitigating credit risk. With comprehensive data over the last 36 years, we find increasingly diminished empirical support for these models. The value of insurance in resolving asymmetric information beyond that resolved by credit ratings and other observable bond characteristics is economically minimal. The average gross value of insurance ranges from 4 to 14 bps when bond insur...
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作者：Amodio, Francesco; Hoey, Sam; Schneider, Jeremy
作者单位：McGill University; McGill University; University of Luxembourg; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; The World Bank
摘要：Does the arrival of culturally diverse workers affect the work style of incumbent workers? We examine how the large influx of Russian hockey players in the National Hockey League after 1989 affected North American-born players. The Soviet style of hockey was largely based on skilled skating, constant movement, circling, and passing. In contrast, the North American play was more individualistic and linear, with higher emphasis on physical strength and aggressive behavior. Using 50 years of data...
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作者：Gur, Yonatan; Macnamara, Gregory; Morgenstern, Ilan; Saban, Daniela
作者单位：Stanford University
摘要：We consider a platform facilitating trade between sellers and buyers with the objective of maximizing consumer surplus. Even though in many such marketplaces, prices are set by revenue-maximizing sellers, platforms can influence prices through (i) price-dependent promotion policies that can increase demand for a product by featuring it in a prominent position on the web page and (ii) the information revealed to sellers about the value of being promoted. Identifying effective joint information ...
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作者：Li, Dong; Mishra, Nishant; Netessine, Serguei
作者单位：Agency for Science Technology & Research (A*STAR); Universite Catholique Louvain; University of Pennsylvania
摘要：In after-sales product support, both literature and practice have highlighted the advantages of paying for performance under performance-based contracts (PBC) over the more traditional transaction-based contracts (TBC) that tie supplier payments to each repair incident. Although PBC is believed to better align incentives in the supply chain when the supplier's private effort is difficult to verify, emerging technologies can make the repair process more transparent, which can eliminate the supp...
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作者：Weinbaum, David; Fodor, Andrew; Muravyev, Dmitriy; Cremers, Martijn
作者单位：Syracuse University; University System of Ohio; Ohio University; Michigan State University; Michigan State University's Broad College of Business; University of Notre Dame
摘要：We examine which categories of option trading volume carry information about future stock prices around corporate news announcements. We predict and find that purchases of options are informative on news days and ahead of unscheduled events but not before scheduled events, and sales of options predict returns only ahead of scheduled news releases. Therefore, although the arrival of new information is an important reason why option volume predicts stock returns, this relation depends on whether...
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作者：Boczon, Marta; Wilson, Alistair J.
作者单位：Copenhagen Business School; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh
摘要：We analyze the design of a randomization procedure in a field setting with high stakes and substantial public interest: matching sports teams in the Union of European Football Association Champions League. While striving for fairness in the chosen lottery- giving teams similar distributions over potential partners-the designers seek to balance two conflicting forces: (i) imposing a series of combinatorially complex constraints on the feasible matches; and (ii) designing an easy-to-understand a...
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作者：Fattahi, Ali; Dasu, Sriram; Ahmadi, Reza
作者单位：Johns Hopkins University; University of Southern California; University of California System; University of California Los Angeles
摘要：We study direct load control contracts that utilities use to curtail customers' electricity consumption during peak-load periods. These contracts place limits on the number of calls and total number of hours of power reduction per customer per year as well as the duration of each call. The stochastic dynamic program that determines how many customers to call and the timing and duration of each call for each day is an extremely difficult (NP-hard) optimization problem. We design a scenario-base...
