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作者：Orzach, Roi; Quist, Kramer
作者单位：Boston University; University of Michigan System; University of Michigan
摘要：The economic literature on delegation focuses on the subordinate's improved motivation when liberated from managerial intervention in decision making. However, many managers motivate employees while proactively intervening in the decision-making process. We build a principal-agent model to analyze when managerial intervention is, and is not, motivational to the agent. Although managerial intervention may demotivate the agent when leading to actions that waste employee effort, managerial interv...
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作者：Dai, Min; Sun, Yu; Xu, Zuo Quan; Zhou, Xun Yu
作者单位：Hong Kong Polytechnic University; Hong Kong Polytechnic University; Peking University; Peking University Shenzhen Graduate School (PKU Shenzhen); Hong Kong Polytechnic University; Columbia University; Columbia University
摘要：We study optimal stopping for diffusion processes with unknown model primitives within the continuous-time reinforcement learning (RL) framework Wang, Zariphopoulou and Zhou [Wang H, Zariphopoulou T, Zhou XY (2020), J. Machine Learn. Res. 21(198):1-34], and present applications to option pricing and portfolio choice. By penalizing the corresponding variational inequality formulation, we transform the stopping problem into a stochastic optimal control problem with two actions. We then randomize...
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作者：Poelhekke, Steven; Vlahu, Razvan; Volosovych, Vadym
作者单位：Vrije Universiteit Amsterdam; Centre for Economic Policy Research - UK; Tinbergen Institute; European Central Bank; De Nederlandsche Bank NV; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We study the dynamics of firm-bank relationships following corporate acquisitions using a novel firm-bank data set for 23 European countries over 2008-2014. Our data allows us to track changes in both firm ownership and bank relationships over time. To examine the effect of ownership change on bank relationships, we combine a difference-indifferences approach with matching. We find that the majority of acquisitions are associated with substantial changes in bank relationships of target firms. ...
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作者：Chen, Zhou; Qi, Qi; Wang, Changjun; Wang, Zhen
作者单位：Southeast University - China; Renmin University of China; Chinese Academy of Sciences; Academy of Mathematics & System Sciences, CAS; Shanghai University of Finance & Economics; Shanghai University of Finance & Economics
摘要：Many large cities have adopted a policy of restricting the number of new vehicle licenses in order to address the challenges of traffic and air pollution problems. An important question that then arises is how to allocate these limited new license quotas among a large set of demanders while taking both social efficiency and equality into consideration. Inspired by this practical problem, we study the problem of designing simple and optimal mechanisms to tradeoff between efficiency and equality...
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作者：Chen, Yajing; He, Taotao; Rong, Ying; Wang, Yunlong
作者单位：Shanghai Jiao Tong University; Shanghai Jiao Tong University
摘要：In this paper, we explore the challenge of assortment planning in the context of quick commerce, a rapidly growing business model that aims to deliver time-sensitive products. In order to achieve quick delivery to satisfy the immediate demands of online customers in close proximity, personalized online assortments need to be included in brick-and-mortar store offerings. With the presence of this physical linkage requirement and distinct multinomial logit choice models for online consumer segme...
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作者：Buhlmann, Florian; Doerrenberg, Philipp; Loos, Benjamin; Voget, Johannes
作者单位：University of Mannheim; University of New South Wales Sydney
摘要：The removal of an intertemporal tax discontinuity in Germany provides us with a natural experiment to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. Using individual investor transactions data combined with nonparametric regressions and bunching methods, we find that the presence of the tax discontinuity induces investors to adjust their holding periods, which reduces their effective tax rate by 11.3%. We also find that tax effects dominate th...
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作者：Chen, Wen; Hu, Bo; Yang, Liyan
作者单位：Texas Tech University System; Texas Tech University; George Mason University; University of Toronto
摘要：This paper develops an economic setting to rationalize the use of the least absolute shrinkage and selection operator (LASSO) in estimating asset returns. In this setting, multiple traders engage in trading based on information extracted from historical asset prices. Facing model uncertainty in forecasting asset returns, these traders adopt robusttrading strategies. Within this context, the use of LASSO for estimating asset returns emerges endogenously as an equilibrium outcome. We further ext...
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作者：Massacci, Daniele; Sarno, Lucio; Trapani, Lorenzo
作者单位：University of London; King's College London; University of Cambridge; University of Cambridge; Centre for Economic Policy Research - UK; University of Pavia; University of Leicester
摘要：We propose a conditional model of asset returns that allows for good and bad states of the world, depending on bear market risk. Specifically, we generalize existing latent factor models in three ways: we show how to estimate the threshold that identifies the disappointment event triggering the bad state of the world, we permit different factor structures for asset returns in good and bad states, and we show how to estimate consistently the conditional risk premia of observable factors from th...
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作者：Benhaim, Alon; Falk, Brett Hemenway; Tsoukalas, Gerry
作者单位：University of Pennsylvania; University of Pennsylvania; Boston University
摘要：In decentralized governance, quadratic voting (QV)-where the cost of acquiring voting power is convex-optimally aggregates voter preferences, outperforming simpler linear voting (LV) mechanisms when voters have complete information. But what if they do not? We show that uncertainty not only breaks QV optimality but can also cause it to underperform LV. Intuitively, this is because cost convexity can disincentivize betterinformed voters from adequately conveying their private information. The o...
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作者：Yang, Cathy (Liu); Bauer, Kevin; Li, Xitong; Hinz, Oliver
作者单位：Hautes Etudes Commerciales (HEC) Paris; Goethe University Frankfurt
摘要：Amid ongoing policy and managerial debates on keeping humans in the loop of artificial intelligence (AI) decision-making processes, we investigate whether human involvement in AI-based service production benefits downstream consumers. Partnering with a large savings bank in Europe, we produced pure AI and human-AI collaborative investment advice, which we passed to the bank customers and investigated the degree of their advice taking in a field experiment. On the production side, contrary to c...
