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作者：Gustafson, Matthew; Haslag, Peter; Weagley, Daniel; Ye, Zihan
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Vanderbilt University; University of Tennessee System; University of Tennessee Knoxville
摘要：We show that migration induced by the COVID-19 pandemic significantly predicts changes in municipal bond yields. Negative migration shocks have made debt more expensive, especially in the areas and bonds most exposed to the work-from-home (WFH) transition. Over the full sample, a one-standard-deviation increase in COVID period outmigration predicts an approximate 4.5-basis-point rise in municipal bond yields, after controlling for a range of local economic factors including state-or core-based...
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作者：Chen, Zhi; Zhao, Long
作者单位：National University of Singapore; National University of Singapore
摘要：We propose a new method for combining point forecasts from multiple experts across multiple variables to improve inference about an unknown variable. Traditional aggregation methods combine forecasts for each variable separately (we refer to these methods as separate inference methods). However, in practice, each expert frequently provides a forecast for each variable across multiple variables. Because forecast errors can be correlated across the variables, the decision maker may additionally ...
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作者：Chen, Chen; Chen, Yilun; Qian, Pengyu
作者单位：New York University; NYU Shanghai; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen; Boston University
摘要：Resource pooling improves system efficiency drastically in large stochastic systems, but its effective implementation in decentralized systems remains relatively underexplored. This paper studies how to incentivize resource pooling when agents are self-interested, and their states are private information. Our primary motivation is applications in the design of decentralized computing markets, among others. We study a standard multiserver queueing model in which each server is associated with a...
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作者：Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu
作者单位：Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Hong Kong Baptist University; Washington University (WUSTL)
摘要：We uncover a new price pattern: The stock systematic component exhibits momentum. This systematic momentum further yields a return momentum: Stocks sorted by systematic component have persistent positive returns. In comparison with the extremely popular and extensively studied momentum sorted by return, which is valid only monthly, our systematic return momentum holds intraday, daily, weekly, and monthly. Furthermore, our systematic momentum, the strongest ever discovered, is different from th...
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作者：Dahlquist, Magnus; Ibert, Markus; Wilke, Felix
作者单位：Stockholm School of Economics; Centre for Economic Policy Research - UK; Copenhagen Business School; Danish Finance Institute; Universidade Nova de Lisboa
摘要：We recover forward-looking expected net-of-fee abnormal returns (alphas) for active equity mutual funds from analyst ratings. In contrast to the typical equilibrium implication of zero alphas, analyst alphas are negative for most funds, but positive for the largest funds. We compare analysts' subjective expectations with expectations from a rational expectations learning model. The model's rational learner believes that an increase in fund size leads to a decrease in returns, but we find no ev...
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作者：Aridor, Guy; Che, Yeon-Koo; Hollenbeck, Brett; Kaiser, Maximilian; McCarthy, Daniel
作者单位：Northwestern University; Columbia University; University of California System; University of California Los Angeles; University of Hamburg; University System of Maryland; University of Maryland College Park
摘要：Assembling novel data sets on online advertiser spending, performance, and revenue, we quantify the economic effects of Apple's App Tracking Transparency (ATT) privacy policy on e-commerce firms. We find that conversion-optimized Meta advertisements, affected most by ATT, saw a 37% reduction in click-through rates after ATT. Although firms responded by shifting ad spending from Meta to the Google ecosystem, firms with higher baseline Meta dependence nevertheless experienced a substantial decli...
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作者：Enache, Andreea; Rhodes, Andrew
作者单位：Stockholm School of Economics; Communaute d'universites et etablissements de Toulouse (Comue); Universite Toulouse 1 Capitole; Toulouse School of Economics
摘要：We consider a setting in which a platform matches buyers and sellers, who then wish to transact with each other multiple times. The platform charges fees for hosting transactions but also offers convenience benefits. We consider two scenarios. In one scenario, all transactions must occur on the platform; in the other scenario, buyers and sellers can disintermediate the platform after the first transaction and do subsequent transactions offline. We find that the platform reacts to disintermedia...
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作者：He, Cheng; Li, Zhuoxin
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：One in 10 U.S. households experience food insecurity, with millions of lowincome families lacking access to fresh food. In response, federal and state governments recently launched the Supplemental Nutrition Assistance Program (SNAP) Online Purchasing Pilot (SNAP Online), enabling SNAP benefits to cover online food purchases. Although prior research suggests that the SNAP Online program may increase overall food consumption, its impact on fresh food consumption remains unclear. This research l...
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作者：Aobdia, Daniel; Dong, Ting; Nilsson, Henrik; Zhu, Liwei
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Stockholm School of Economics; University of Oulu; CUNEF Universidad
摘要：This study investigates the role of personality similarity in the formation of auditor-in-charge (AIC)-client management dyads and the development of a collaborative relationship in auditing engagements. We apply the principle of homophily from sociology, that is, the attraction of individuals with similar traits to one another, to the formation of supplier-customer dyads in auditing engagements. Our analyses suggest that AIC-management personality similarity increases the likelihood of dyad f...
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作者：Li, Menglong; Simchi-Levi, David; Tan, Renfei; Wang, Chonghuan; Wu, Michelle Xiao
作者单位：City University of Hong Kong; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Texas System; University of Texas Dallas
摘要：This paper, inspired by a collaboration with a leading consumer electronics retailer in the Middle East, explores the challenge of demand learning and pricing using separable demand models. The data scarcity issue, characterized by limited price changes and low sales volumes, renders traditional models ineffective in deriving reasonable price elasticity. To address this issue, we advocate a separable model that leverages two submodels to distinctly capture the effects of price and contextual i...
