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作者：Chen, Tao; Huang, Yi; Lin, Chen; Sheng, Zixia
作者单位：Nanyang Technological University; University of Hong Kong
摘要：The online trading platform Alibaba provides financial technology (FinTech) credit for millions of micro, small, and medium-sized enterprises (MSMEs). Using a novel data set of daily sales and an internal credit score threshold that governs the allocation of credit, we apply a fuzzy regression discontinuity design (RDD) to explore the causal effect of credit access on firm volatility. We find that credit access significantly reduces firm sales volatility and that the effect is stronger for fir...
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作者：Friedman, Henry L.; Hughes, John S.; Michaeli, Beatrice
作者单位：University of California System; University of California Los Angeles
摘要：The aim of general purpose financial reporting is to provide information that is useful to investors, lenders, and other creditors. With this goal, regulators have tended to mandate increased disclosure. We show that increased mandatory disclosure can weaken a firm's incentive to acquire and voluntarily disclose private information that is not amenable to inclusion in mandated reports. Specifically, we provide conditions under which a regulator, seeking to maximize the total amount of informat...
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作者：Ghamami, Samim; Glasserman, Paul; Young, H. Peyton
作者单位：University of California System; University of California Berkeley; New York University; Columbia University; University of London; London School Economics & Political Science; University of Oxford
摘要：This paper studies the spread of losses and defaults in financial networks with two interrelated features: collateral requirements and alternative contract termination rules. When collateral is committed to a firm's counterparties, a solvent firm may default if it lacks sufficient liquid assets to meet its payment obligations. Collateral requirements can, thus, increase defaults and payment shortfalls. Moreover, one firm may benefit from the failure of another if the failure frees collateral c...
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作者：Nabi, Sareh; Nassif, Houssam; Hong, Joseph; Mamani, Hamed; Imbens, Guido
作者单位：University of Washington; University of Washington Seattle; Amazon.com; Stanford University
摘要：Adding domain knowledge to a learning system is known to improve results. In multiparameter Bayesian frameworks, such knowledge is incorporated as a prior. On the other hand, the various model parameters can have different learning rates in real-world problems, especially with skewed data. Two often-faced challenges in operation management and management science applications are the absence of informative priors and the inability to control parameter learning rates. In this study, we propose a...
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作者：Chan, Timothy C. Y.; Eberg, Maria; Forster, Katharina; Holloway, Claire; Ieraci, Luciano; Shalaby, Yusuf; Yousefi, Nasrin
作者单位：University of Toronto; University of Toronto
摘要：Clinical pathways outline standardized processes in the delivery of care for a specific disease. Patient journeys through the healthcare system, however, can deviate substantially from these pathways. Given the positive benefits of clinical pathways, it is important to measure the concordance of patient pathways so that variations in health system performance or bottlenecks in the delivery of care can be detected, monitored, and acted upon. This paper proposes the first data-driven inverse opt...
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作者：Chin, Alex; Eckles, Dean; Ugander, Johan
作者单位：Stanford University; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Stanford University; Stanford University
摘要：When trying to maximize the adoption of a behavior in a population connected by a social network, it is common to strategize about where in the network to seed the behavior, often with an element of randomness. Selecting seeds uniformly at random is a basic but compelling strategy in that it distributes seeds broadly throughout the network. A more sophisticated stochastic strategy, one-hop targeting, is to select random network neighbors of random individuals; this exploits a version of the fr...
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作者：Jiang, George J.; Liang, Bing; Zhang, Huacheng
作者单位：Washington State University; University of Massachusetts System; University of Massachusetts Amherst; Southwestern University of Finance & Economics - China
摘要：Using a novel style identification procedure, we show that style-shifting is a dynamic strategy commonly used by hedge fund managers. Three quarters of hedge funds shifted their investment styles at least once over the period from January 1994 to December 2013. We perform empirical tests of two hypotheses for the motivations of hedge fund style-shifting, namely backward-looking and forward-looking hypotheses. We find no evidence that style-shifting funds are backward-looking. Instead, we show ...
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作者：Kallus, Nathan; Mao, Xiaojie; Zhou, Angela
作者单位：Cornell University; Tsinghua University; University of California System; University of California Berkeley
摘要：The increasing impact of algorithmic decisions on people's lives compels us to scrutinize their fairness and, in particular, the disparate impacts that ostensibly color-blind algorithms can have on different groups. Examples include credit decisioning, hiring, advertising, criminal justice, personalized medicine, and targeted policy making, where in some cases legislative or regulatory frameworks for fairness exist and define specific protected classes. In this paper we study a fundamental cha...
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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：Amaya, Diego; Begin, Jean-Francois; Gauthier, Genevieve
作者单位：Wilfrid Laurier University; Simon Fraser University; Universite de Montreal; HEC Montreal
摘要：We propose the option realized variance as an observable variable to summarize the information from high-frequency option data. This variable aggregates intraday option returns from midquote prices to compute an option's total variability for a given day, providing additional information about the jump activity in the data generating process. Using the S&P 500 index time series and options data, this paper documents the performance of this realized measure in predicting the index realized vari...
