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作者：Penaranda, Francisco; Wu, Liuren
作者单位：City University of New York (CUNY) System; Queens College NY (CUNY); City University of New York (CUNY) System; Baruch College (CUNY)
摘要：We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities, whereas targeting a constant expected return does the opposite. Theoretical and numerical analysis shows that within the usual ranges of investment opportunities, risk targeting generates better unconditional performance than return targeting across a wide range of metrics. Empirical analysis wit...
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作者：Li, Meng; Liu, Yan
作者单位：University of Houston System; University of Houston; Chinese Academy of Sciences; University of Science & Technology of China, CAS
摘要：In this paper, we study a regretful seller???s problem of selling a fixed number of goods over a finite and known time horizon. The seller engages in counterfactual thinking to compare her selected price with other forgone alternatives. If a forgone alternative (ex post) generates a better outcome than the selected one, then the seller experiences regret. We characterize the pricing decision of a regretful seller and find that, although regret leads the seller to set a price that is lower than...
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作者：Bavafa, Hessam; Canamucio, Anne; Marcus, Steven C.; Terwiesch, Christian; Werner, Rachel M.
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison; US Department of Veterans Affairs; Veterans Health Administration (VHA); University of Pennsylvania; University of Pennsylvania; University of Pennsylvania; University of Pennsylvania
摘要：We study capacity rationing by servers facing differentiated customer classes using data from the Veterans Health Administration, which is the largest integrated healthcare system in the U.S. Using more than 11 million health encounters over two years in which the system was capacity constrained, our study provides a comprehensive analysis of the impacts of provider availability shocks on care channel diversion and delays. The outcomes studied include emergency room (ER) visits broken down by ...
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作者：Feng, Qi; Li, Yuanchen; Shanthikumar, J. George
作者单位：Purdue University System; Purdue University; Tongji University
摘要：Supply chain contract negotiation has gained increasing attention in recent years, and the studies involving negotiations in the operations literature almost exclusively apply the concept of the Nash bargaining (NB) solution. The NB solution, however, is derived based on the axiom of independence of irrelevant alternatives (IIA), an unrealistic assumption in many contexts. Indeed, our analysis suggests that the NB solution can lead to unreasonable negotiation outcomes in supply chains with hor...
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作者：Cookson, Gordon; Jenkinson, Tim; Jones, Howard; Martinez, Jose Vicente
作者单位：University of Oxford; University of Connecticut
摘要：Investment consultants market their services by claiming their fund manager recommendations add significant value. Using nonpublic data sourced from investment consultants and the UK regulator, we find no such evidence, but identify several practices that explain their exaggerated claims: comparisons to benchmarks instead of peers, inclusion of simulated and backfilled returns, use of investment horizons that allow losers to be forgotten, and unexplained exclusions of products from the analysi...
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作者：Li, Qin; Lourie, Ben; Nekrasov, Alexander; Shevlinb, Terry
作者单位：Hong Kong Polytechnic University; University of California System; University of California Irvine; University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
摘要：Employee turnover is a significant cost for businesses and a key human capital metric, but firms do not disclose this measure. We examine whether turnover is informative about future firm performance using a large panel of turnover data extracted from employees' online profiles. We find that turnover is negatively associated with future financial performance (one-quarter ahead return on assets and sales growth). The negative association between turnover and future performance is stronger for s...
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作者：Yuan, Peixuan
作者单位：Renmin University of China
摘要：This paper proposes a new reduced-form model for the pricing of VIX derivatives that includes an independent stochastic jump intensity factor and cojumps in the level and variance of VIX, while allowing the mean of VIX variance to be time varying. I fit the model to daily prices of futures and European options from April 2007 through December 2017. The empirical results indicate that the model significantly outperforms all other nested models and improves on benchmark by 21.6% in sample and 31...
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作者：Frankel, Richard; Jennings, Jared; Lee, Joshua
作者单位：Washington University (WUSTL); Brigham Young University
摘要：We compare the ability of dictionary-based and machine-learning methods to capture disclosure sentiment at 10-K filing and conference-call dates. Like Loughran and McDonald [Loughran T, McDonald B (2011) When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. J. Finance 66(1):35-65.], we use returns to assess sentiment. We find that measures based on machine learning offer a significant improvement in explanatory power over dictionary-based measures. Specifically, machi...
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作者：Kan, Raymond; Wang, Xiaolu; Zhou, Guofu
作者单位：University of Toronto; Iowa State University; Washington University (WUSTL)
摘要：We propose an optimal combining strategy to mitigate estimation risk for the popular mean-variance portfolio choice problem in the case without a risk-free asset. We find that our strategy performs well in general, and it can be applied to known estimated rules and the resulting new rules outperform the original ones. We further obtain the exact distribution of the out-of-sample returns and explicit expressions of the expected out-of sample utilities of the combining strategy, providing not on...
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作者：Abbink, Klaus; Dong, Lu; Huang, Lingbo
作者单位：Monash University; Nanjing Audit University
摘要：Communication is one of the most effective devices in promoting team cooperation. However, asymmetric communication sometimes breeds collusion and hurts team efficiency. Here, we present experimental evidence showing that excluding one member from team communication hurts team cooperation; the communicating partners collude in profit allocation against the excluded member, and the latter reacts by exerting less effort. Allowing the partners to reach out to the excluded member partially restore...
