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作者：Della Corte, Pasquale; Sarno, Lucio; Schmeling, Maik; Wagner, Christian
作者单位：Imperial College London; University of Cambridge; Goethe University Frankfurt; Vienna University of Economics & Business
摘要：An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross...
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作者：Guo, Jiaqi; Li, Peng; Li, Youwei
作者单位：University of Birmingham; University of Leeds; University of Hull
摘要：This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and anchoring effect. Collectively, all explanations capture 31% of momentum, whereas 69% of momentum remains unexplained. This study thoroughly examines what fractions of the momentum anomaly emerge from t...
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作者：Mahmouda, Ola
作者单位：University of St Gallen; University of California System; University of California Berkeley
摘要：Diversification is a fundamental concept in economics and finance. This paper argues that decision makers have an intrinsic preference for diversification that is responsive to cost and that this willingness to pay for diversification is driven by risk aversion and loss aversion. In an experiment replicating a portfolio choice problem, the value of diversification is estimated to be at 5% of the initial endowment of approximately $100. Moreover, risk-averse and loss-averse individuals are will...
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作者：Tommar, Sara Ain; Kolokolova, Olga; Mura, Roberto
作者单位：NEOMA Business School; University of Manchester; Alliance Manchester Business School
摘要：We examine how childcare inequalities in the home affect the work productivity of female talent, using unique data on the family structures of hedge fund managers and the exogenous shock from school closures during the early COVID-19 pandemic response. We find that female managers' ability to generate abnormal returns is curbed by 9% on average in the shock-month of school closures, providing a direct measure of the cost of unpaid care work. This effect is driven by mothers and especially moth...
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作者：Ertekin, Necati; Gumus, Mehmet; Nikoofal, Mohammad E.
作者单位：University of Minnesota System; University of Minnesota Twin Cities; McGill University; Toronto Metropolitan University
摘要：We study how merchandising products as online-exclusive (i.e., products available only online) versus hybrid (i.e., products available both online and offline) can improve the performance of ship-to-store (STS) services, an omnichannel retail fulfillment initiative that allows customers to pick up their online orders in-store. First, using a stylized model, we theoretically demonstrate that although STS is likely to increase sales, it may also entail the risk of losing some customers by exposi...
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作者：Casoria, Fortuna; Reuben, Ernesto; Rott, Christina
作者单位：Universite Marie et Louis Pasteur; New York University; New York University Abu Dhabi; Vrije Universiteit Amsterdam; Tinbergen Institute
摘要：We investigate the effects of group identity on hiring decisions with adverse selection problems. We run a laboratory experiment in which employers cannot observe a worker's ability or verify the veracity of the ability the worker claims to have. We evaluate whether sharing an identity results in employers discriminating in favor of ingroup workers and whether it helps workers and employers overcome the adverse selection problem. We induce identities using the minimal group paradigm and study ...
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作者：Araman, Victor F.; Caldentey, Rene A.
作者单位：American University of Beirut; University of Chicago
摘要：A decision maker (DM) must choose an action in order to maximize a reward function that depends on the DM's action as well as on an unknown parameter T. TheDM can delay taking the action in order to experiment and gather additional information on T. We model the problem using a Bayesian sequential experimentation framework and use dynamic programming and diffusion-asymptotic analysis to solve it. For that, we consider environments in which the average number of experiments that is conducted pe...
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作者：Gao, Pin; Fan, Xiaoshuai; Huang, Yangguang; Chen, Ying-Ju
作者单位：The Chinese University of Hong Kong, Shenzhen; Southern University of Science & Technology; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
摘要：Many innovative products are designed to satisfy the demand of specific target consumers; thus, the innovators will inevitably compete with each other in the product market. We investigate how a profit-maximizing principal should properly allocate her limited resources to support the innovations of multiple potentially competing innovators. We find that, as the available resources increase, the optimal diversification of investment may first increase and then decrease. This interesting nonmono...
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作者：Arad, Ayala; Maltz, Amnon
作者单位：Tel Aviv University; University of Haifa
摘要：Could introducing a tiny interest rate on positive balances of checking accounts affect investment decisions? We suggest, counterintuitively, that it might decrease allocations to checking accounts and increase riskless investments with higher returns. This violation of monotonicity is a potential outcome of a novel behavioral phenomenon that we formalize and investigate experimentally. It posits that even a small interest rate highlights or turns on the safe gains dimension, bumping up its de...
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作者：Dong, Lingxiu; Shi, Duo; Zhang, Fuqiang
作者单位：Washington University (WUSTL); The Chinese University of Hong Kong, Shenzhen
摘要：3D printing, as a production technology, differs from conventional technologies in three characteristics: design freedom-that is, it can handle certain product designs that conventional technologies cannot; quality distinction-that is, depending on the focal quality dimension, it can lead to a quality level superior or inferior to that of conventional technologies; and natural flexibility-that is, it is endowed with capacity flexibility without sacrificing operational efficiency. This paper in...
