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作者：Baquero, Guillermo; Verbeek, Marno
作者单位：European School of Management & Technology; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：Cash flows to hedge funds are highly sensitive to performance streaks, a streak being defined as subsequent quarters during which a fund performs above or below a benchmark, even after controlling for a wide range of common performance measures. At the same time, streaks have limited predictive power regarding future fund performance. This suggests investors weigh information suboptimally, and their decisions are driven too strongly by a belief in continuation of good performance, consistent w...
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作者：Qiu, Buhui; Tian, Gary Gang; Zang, Haijian
作者单位：University of Sydney; Macquarie University; Guangxi University
摘要：How does deleveraging affect the market liquidity of high-embedded-leverage securities issued by financial institutions and the funding constraints of these institutions? We use the forced deleveraging of structured mutual funds during the 2015 Chinese stock market crash to study the effects of deleveraging. Our regression-discontinuity analysis shows that deleveraging significantly reduces the market liquidity of the deleveraging funds' equity units. Moreover, our difference-in-differences an...
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作者：Huang, Jiali; Mani, Ankur; Wang, Zizhuo
作者单位：University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen; Shenzhen Research Institute of Big Data
摘要：We study the value of price discrimination in large social networks. Recent trends in industry suggest that, increasingly, firms are using information about social network to offer personalized prices to individuals based upon their positions in the social network. In the presence of positive network externalities, firms aim to increase their profits by offering discounts to influential individuals that can stimulate consumption by other individuals at a higher price. However, the lack of tran...
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作者：Fu, Runshan; Aseri, Manmohan; Singh, ParamVir; Srinivasan, Kannan
作者单位：Carnegie Mellon University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Carnegie Mellon University
摘要：Ensuring fairness in algorithmic decision making is a crucial policy issue. Current legislation ensures fairness by barring algorithm designers from using demographic information in their decision making. As a result, to be legally compliant, the algorithms need to ensure equal treatment. However, in many cases, ensuring equal treatment leads to disparate impact particularly when there are differences among groups based on demographic classes. In response, several fair machine learning (ML) al...
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作者：Eckbo, B. Espen; Nygaard, Knut; Thorburn, Karin S.
作者单位：Dartmouth College; Norwegian School of Economics (NHH); European Corporate Governance Institute; Oslo Metropolitan University (OsloMet); Centre for Economic Policy Research - UK
摘要：We highlight the complexities in estimating the valuation effects of board gender quotas by critically revisiting studies of Norway???s pioneering board gender-quota law. We use the short-run event study of Ahern and Dittmar [Ahern KR, Dittmar A (2012) The changing of the boards: The impact on firm valuation of mandated female board representation. Quart. J. Econom. 127(1):137???197] to illustrate (1) the difficulties in attributing quota-related news to specific dates, (2) the need to account...
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作者：Gu, Chris; Wang, Yike
作者单位：University System of Georgia; Georgia Institute of Technology; University of London; London School Economics & Political Science
摘要：Modern-day search platforms generally have two layers of information presentation. The outer layer displays the collection of search results with attributes selected by platforms, and consumers click on a product to reveal all its attributes in the inner layer. The information revealed in the outer layer affects the search costs and the probability of finding a match. To address the managerial question of optimal information layout, we create an information complexity measure of the outer laye...
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作者：Hu, Yichun; Kallus, Nathan; Mao, Xiaojie
作者单位：Cornell University; Cornell University; Tsinghua University
摘要：Incorporating side observations in decision making can reduce uncertainty and boost performance, but it also requires that we tackle a potentially complex predictive relationship. Although one may use off-the-shelf machine learning methods to separately learn a predictive model and plug it in, a variety of recent methods instead integrate estimation and optimization by fitting the model to directly optimize downstream decision performance. Surprisingly, in the case of contextual linear optimiz...
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作者：Izhakian, Yehuda; Yermack, David; Zender, Jaime F.
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); New York University; National Bureau of Economic Research; University of Colorado System; University of Colorado Boulder
摘要：We examine the impact of ambiguity, or Knightian uncertainty, on the capital structure decision, using a static tradeoff theory model in which agents are both ambiguity and risk averse. The model confirms the well-known result that greater risk???the uncertainty over outcomes???leads firms to decrease leverage. Conversely, the model indicates that greater ambiguity???the uncertainty over the probabilities associated with the outcomes???leads firms to increase leverage. Using a theoretically ba...
