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作者：Xu, Heng; Zhang, Nan
作者单位：American University
摘要：Over the past two decades, behavioral research in privacy has made considerable progress transitioning from acontextual studies to using contextualization as a powerful sensitizing device for illuminating the boundary conditions of privacy theories. Significant challenges and opportunities wait, however, on elevating and converging individually contextualized studies to a context-contingent theory that explicates the mechanisms through which contexts influence consumers' privacy concerns and t...
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作者：Avramov, Doron; Kaplanski, Guy; Subrahmanyam, Avanidhar
作者单位：Reichman University; Bar Ilan University; University of California System; University of California Los Angeles
摘要：Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. Deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the long leg and survives value weighting and excluding microcaps. We provide evidence that the predictability arises because investors anchor to recent means of fundamentals. A factor based on our fundamentals-b...
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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：Chang, Pao-Li; Fujii, Tomoki; Jin, Wei
作者单位：Singapore Management University; Nankai University; Nankai University
摘要：This paper estimates the effects of time-varying consumer preference bias on trade flows and welfare. We use a unique data set from the BBC World Service Poll, which surveys (annually during 2005-2017 with some gaps) the populations of a wide array of countries on their views of whether an evaluated country is having a mainly positive or negative influence in the world. We identify the effects on consumer preference parameters due to shifts in these country image perceptions and quantify their...
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作者：Singal, Raghav; Besbes, Omar; Desir, Antoine; Goyal, Vineet; Iyengar, Garud
作者单位：Dartmouth College; Columbia University; INSEAD Business School; Columbia University
摘要：One of the central challenges in online advertising is attribution, namely, assessing the contribution of individual advertiser actions such as emails, display ads, and search ads to eventual conversion. Several heuristics are used for attribution in practice; however, most do not have any formal justification. The main contribution in this work is to propose an axiomatic framework for attribution in online advertising. We show that the most common heuristics can be cast under the framework an...
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作者：Srivastav, Abhishek; Vallascas, Francesco
作者单位：University of Edinburgh; Durham University
摘要：Since May 2015 several U.S. Bank Holding Companies (BHCs) have been newly classified as small banks by regulators, thus benefiting from a friendlier regulatory capital environment. Using a difference-in-differences setting, we show that less regulation on small BHCs boosts small business lending of the affiliated commercial banks. We employ various tests to demonstrate that these findings are attributable to a capital channel where increases in lending are driven by the preferential capital tr...
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作者：Hasan, Mostafa Monzur; Taylor, Grantley; Richardson, Grant
作者单位：Macquarie University; Curtin University
摘要：We examine the relationship between brand capital and stock price crash risk. Crash risk, defined as the negative skewness in the distribution of returns for individual stocks, captures asymmetry in risk, and has important implications for investment choices and risk management. Using a sample of 39,685 publicly listed U.S. firm-year observations covering 1975 to 2018, we show that brand capital is significantly and negatively related to crash risk. We also use an advanced machine learning app...
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作者：Hu, Honggang; Zheng, Quan; Pan, Xiajun Amy
作者单位：Tongji University; Chinese Academy of Sciences; University of Science & Technology of China, CAS; State University System of Florida; University of Florida
摘要：With the rapid growth of e-commerce, agency selling is currently gaining popularity among online retailers (e-tailers). Prior research implicitly abstracts away cross-brand pass-through under traditional wholesale selling (i.e., how the retail price of another brand adjusts to changes in a given brand's wholesale price) and suggests that a shift to agency selling benefits e-tailers but harms suppliers. As an important counterweight to this result, we discover that an e-tailer's choice regardin...
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作者：van de Geer, Ruben; den Boer, Arnoud V.
作者单位：University of Amsterdam; University of Amsterdam
摘要：We consider price optimization under the finite-mixture logit model. This model assumes that customers belong to one of a number of customer segments, where each customer segment chooses according to a multinomial logit model with segment-specific parameters. We reformulate the corresponding price optimization problem and develop a novel characterization. Leveraging this new characterization, we construct an algorithm that obtains prices at which the revenue is guaranteed to be at least (1- ep...
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作者：Johari, Ramesh; Li, Hannah; Liskovich, Inessa; Weintraub, Gabriel Y.
作者单位：Stanford University; Airbnb; Stanford University
摘要：We develop an analytical framework to study experimental design in two-sided marketplaces. Many of these experiments exhibit interference, where an intervention applied to one market participant influences the behavior of another participant. This interference leads to biased estimates of the treatment effect of the intervention. We develop a stochastic market model and associated mean field limit to capture dynamics in such experiments and use our model to investigate how the performance of d...
