3期

最新文章

• Credit Default Swaps and Debt Overhang AI翻译
  作者：Wong, Tak-Yuen; Yu, Jin
  作者单位：National Tsing Hua University; Monash University
  摘要：We analyze the impact of credit default swaps (CDSs) trading on firm investment, long-term debt financing, and valuation. In our model, the firm is endowed with a real option to initiate a project and enhance its future growth. Its creditors have access to CDS contracts that hedge them against default losses. We show that CDS protection increases the firm's pledgable income: that is, the maximum amount of debt it can raise. However, at the same time CDS protection decreases asset growth and im...
• Curbing the Opioid Epidemic at Its Root: The Effect of Provider Discordance After Opioid Initiation AI翻译
  作者：Bobroske, Katherine; Freeman, Michael; Huan, Lawrence; Cattrell, Anita; Scholtes, Stefan
  作者单位：University of Cambridge; INSEAD Business School
  摘要：Although medical research has addressed the clinical management of chronic opioid users, little is known about how operational interventions shortly after opioid initiation can impact a patient's likelihood of long-term opioid use. Using a nationwide U.S. database of medical and pharmaceutical claims, we investigate the care delivery process at the most common entry point to opioid use: the primary care setting. For patients who return to primary care for a follow-up appointment within 30 days...
• Financial Uncertainty with Ambiguity and Learning AI翻译
  作者：Liu, Hening; Zhang, Yuzhao
  作者单位：University of Manchester; Alliance Manchester Business School; Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick
  摘要：We examine a production-based asset pricing model with regime-switching productivity growth, learning, and ambiguity. Both the mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent's preferences are characterized by the generalized recursive smooth ambiguity utility function. Our calibrated benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical relat...
• Dynamic Pricing for New Products Using a Utility-Based Generalization of the Bass Diffusion Model AI翻译
  作者：Cosguner, Koray; (Seethu) Seetharaman, P. B.
  作者单位：Indiana University System; Indiana University Bloomington; Washington University (WUSTL)
  摘要：The Bass Model (BM) has an excellent track record in the realm of new product sales forecasting. However, its use for optimal dynamic pricing or advertising is relatively limited because the Generalized Bass Model (GBM), which extends the BM to handle marketing variables, uses only percentage changes in marketing variables, rather than their actual values. This restricts the GBM's prescriptive use, for example, to derive the optimal price path for a new product, conditional on an assumed launc...
• Conservative Accounting, Audit Quality, and Litigation AI翻译
  作者：Kronenberger, Sebastian; Laux, Volker
  作者单位：University of Mannheim; University of Texas System; University of Texas Austin
  摘要：Investors are much more likely to sue corporations and their auditors for overstated earnings reports than for understated reports. This asymmetry in litigation exposure is viewed as an important driver for conservative accounting practices in corporations because conservatism reduces the probability of overstatements and hence, investor litigation. This argument is incomplete, however, because it ignores that litigation concerns also affect the incentives of the auditor, which, in turn, affec...
• Hedging the Drift: Learning to Optimize Under Nonstationarity AI翻译
  作者：Cheung, Wang Chi; Simchi-Levi, David; Zhu, Ruihao
  作者单位：National University of Singapore; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Purdue University System; Purdue University
  摘要：We introduce data-driven decision-making algorithms that achieve state-of-the-art dynamic regret bounds for a collection of nonstationary stochastic bandit settings. These settings capture applications such as advertisement allocation, dynamic pricing, and traffic network routing in changing environments. We show how the difficulty posed by the (unknown a priori and possibly adversarial) nonstationarity can be overcome by an unconventional marriage between stochastic and adversarial bandit lea...
• Distributionally Robust Conditional Quantile Prediction with Fixed Design AI翻译
  作者：Qi, Meng; Cao, Ying; Shen, Zuo-Jun (Max)
  作者单位：University of California System; University of California Berkeley; University of California System; University of California Berkeley; University of Hong Kong; University of Hong Kong
  摘要：Conditional quantile prediction involves estimating/predicting the quantile of a response random variable conditioned on observed covariates. The existing literature assumes the availability of independent and identically distributed (i.i.d.) samples of both the covariates and the response variable. However, such an assumption often becomes restrictive in many real-world applications. By contrast, we consider a fixed-design setting of the covariates, under which neither the response variable n...
• Speculation, Sentiment, and Interest Rates AI翻译
  作者：Buraschi, Andrea; Whelan, Paul
  作者单位：Imperial College London; Copenhagen Business School
  摘要：We compare the implications of speculation versus hedging channels for bond markets in heterogeneous agents' economies. Treasuries command a significant risk premium when optimistic agents speculate by leveraging their positions using bonds. Disagreement drives a wedge between marginal agent versus econometrician beliefs (sentiment). When speculative demands dominate, the interaction between belief heterogeneity and sentiment helps rationalize several puzzling characteristics of Treasury marke...
• What's in a Name? Eponymous Private Firms and Financial Reporting Quality AI翻译
  作者：Minichilli, Alessandro; Prencipe, Annalisa; Radhakrishnan, Suresh; Siciliano, Gianfranco
  作者单位：Bocconi University; Bocconi University; University of Texas System; University of Texas Dallas; China Europe International Business School
  摘要：This study examines the relation between financial reporting quality (FRQ) and eponymy, that is, naming a firm after the founder. We hypothesize that compared with noneponymous firms, eponymous firms have higher FRQ because of reputation concerns. Using a sample of 2,271 large Italian private firms, we document that eponymy is positively associated with accrual-based FRQ measures, a Benford's law-based FRQ measure, and a tax-related misstatement-based FRQ measure. Consistent with the reputatio...
• Prescriptive Analytics for Flexible Capacity Management AI翻译
  作者：Notz, Pascal M.; Pibernik, Richard
  作者单位：University of Wurzburg
  摘要：Motivated by the real-world problem of a logistics company, this paper proposes a novel distribution-free prescriptive analytics approach-termed kemelized empirical risk minimization (kemelized ERM)-to solve a complex two-stage capacity planning problem with multivariate demand and vector-valued capacity decisions and compares this approach both theoretically and numerically with an extension of the well-known sample average approximation (SAA) approach termed weighted SAA. Both approaches use...