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作者：Wilkening, Tom; Martinie, Marcellin; Howe, Piers D. L.
作者单位：University of Melbourne; University of Melbourne
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作者：Barroso, Pedro; Reichenecker, Jurij-Andrei; Menichetti, Marco J.
作者单位：Universidade Catolica Portuguesa; University of Liechtenstein
摘要：We propose an optimal currency hedging strategy for global equity investors using currency value, carry, and momentum to proxy for expected currency returns. A benchmark risk constraint ensures the overlay closely mimics a fully hedged portfolio. We compare this with naive and alternative hedges in a demanding out-of-sample test, with transaction and rebalancing costs and margin requirements. Other hedging methods generally reduce risk but at a cost. Some tend to short currencies with high ret...
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作者：Callander, Steven; Matouschek, Niko
作者单位：Stanford University; Northwestern University
摘要：We develop a model to capture the novelty of innovation and explore what it means for the nature of market competition and quality of innovations. An innovator decides not only whether to innovate but how boldly to innovate, where the more novel is the innovation-the more different it is from what has come before-the more uncertain is the outcome. We show in this environment that a variant of the Arrow replacement effect holds in that new entrants pursue more innovative technologies than do in...
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作者：Bae, Jihun; Biddle, Gary C.; Park, Chul W.
作者单位：Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam; University of Melbourne
摘要：We test predictions that managers issuing voluntary capex guidance learn from analyst feedback and that this learning enhances investment efficiency and firm performance. Our findings are consistent with these predictions. First, we find that managers' capex adjustments and capex guidance revisions relate positively with analyst feedback measured by differences between postguidance analyst capex forecasts and managerial capex guidance. Second, changes in investment efficiency relate positively...
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作者：Simchi-Levi, David
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：This article may be used only for the purposes of research, teaching, and/or private study. Commercial use or systematic downloading (by robots or other automatic processes) is prohibited without explicit Publisher The Publisher does not warrant or guarantee the article's accuracy, completeness, merchantability, fitness inclusion of an advertisement in this article, neither constitutes nor implies a guarantee, endorsement, or
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作者：Li, Xiaolin; Ozer, Ozalp; Subramanian, Upender
作者单位：University of London; London School Economics & Political Science; Amazon.com; University of Texas System; University of Texas Dallas
摘要：Cheap-talk communication between parties with conflicting interests is common in many business and economic settings. Two distinct behavioral economics theories, the trust-embedded model and the level-k model, have emerged to explain how cheap talk works between human decision makers. The trust-embedded model considers that decision makers are motivated by nonpecuniary motives to be trusting and trustworthy. In contrast, the level-k model considers that decision makers are purely self-interest...
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作者：Penno, Mark
作者单位：University of Iowa
摘要：Informal tone at the top (TATT) is widely regarded as a fundamental ingredient of organizational control, yet because of its soft nature, the scholarship on TATT has not emphasized mathematical modeling. Observing that TATT refers to the example set by top management, I model TATT as, ceteris paribus, reflecting the expectation that the chief executive officer (CEO) will not divert organizational resources for personal benefit. The setting assumes that CEOs are randomly drawn from a labor pool...
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作者：Anderson, Evan; Cheng, Ai-ru (Meg)
作者单位：Northern Illinois University
摘要：This paper proposes a Bayesian-averaging heterogeneous vector autoregressive portfolio choice strategy with many big models that outperforms existing methods out-of sample on numerous daily, weekly, and monthly datasets. The strategy assumes that excess returns are approximately determined by a time-varying regression with a large number of explanatory variables that are the sample means of past returns. Investors consider the possibility that every period there is a regime change by keeping t...
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作者：Hsu, Po-Hsuan; Li, Dongmei; Li, Qin; Teoh, Siew Hong; Tseng, Kevin
作者单位：National Tsing Hua University; University of South Carolina System; University of South Carolina Columbia; Hong Kong Polytechnic University; University of California System; University of California Irvine; National Taiwan University; National Taiwan University
摘要：Firms often register trademarks as they launch new products or services. We find that the number of new trademark registrations positively predicts firm profitability, stock returns, and underreaction by analysts in their earnings forecasts. Using the Federal Trademark Dilution Act (FTDA) as an exogenous shock to trademark protection, we find that greater trademark protection strengthens the predictability of new trademark registrations. Together, our evidence suggests that investors undervalu...
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作者：Huang, Shawn X.; Keskek, Sami; Sanchez, Juan Manuel
作者单位：Arizona State University; Arizona State University-Tempe; State University System of Florida; Florida State University; University of Texas System; University of Texas at San Antonio
摘要：Using the details of vesting terms, we document that stock options granted in high-investor-sentiment periods tend to have shorter vesting periods and durations and are more likely to vest completely or have a significantly larger fraction vested within one year of the grant date, relative to low-sentiment periods. We further find that the sentiment effect on vesting terms is more pronounced when firms are largely held by investors with short investment horizons (e.g., transient institutions)....
