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作者：He, Xue Dong; Jiang, Zhaoli; Kou, Steven
作者单位：Chinese University of Hong Kong; Hong Kong Polytechnic University; Boston University
摘要：Although maximizing quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to find the optimal portfolio strategy because of time inconsistency. Using an intrapersonal equilibrium approach and focusing on the class of time-varying affine strategies, we find that the only viable outcome is from the median maximization because for other quantiles, either the equilibrium does not exist or there is no investment in risky assets. We also prove that maximizing the median...
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作者：Ye, Zikun; Zhang, Zhiqi; Zhang, Dennis J.; Zhang, Heng; Zhang, Renyu
作者单位：University of Washington; University of Washington Seattle; Washington University (WUSTL); Arizona State University; Arizona State University-Tempe; Chinese University of Hong Kong
摘要：Large-scale online platforms launch hundreds of randomized experiments (also known as A/B tests) every day to iterate their operations and marketing strategies. The combinations of these treatments are typically not exhaustively tested, which triggers an important question of both academic and practical interest. Without observing the outcomes of all treatment combinations, how does one estimate the causal effect of any treatment combination and identify the optimal treatment combination? We d...
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作者：Sakaguchi, Hiroaki; Gathergood, John; Stewart, Neil
作者单位：University of Warwick; University of Nottingham; University of Nottingham; University of Warwick
摘要：We examine round number preferences and left-digit bias in credit card repayments. We show half of all manual credit card payments are at a small set of roundnumber values, although all values between the statement minimum and balance were permissible. We use minimum payments, which place a floor on the payment value, to measure the strength of rounding behavior in a natural experiment. We find that when the minimum payment level just rules out a round number from the bottom of the range of po...
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作者：Cunningham, Colleen; Kapacinskaite, Aldona
作者单位：Utah System of Higher Education; University of Utah; INSEAD Business School
摘要：This study investigates the use of a prevalent but rarely studied form of intellectual property protection: trade secrecy. Building on existing survey evidence of firm-level, cross-sectional use of secrecy, we document the effect of stronger legal protections for trade secrets on the project-level use of such secrets. Our setting is the U.S. oil and gas hydraulic fracturing industry, from 2014 to 2018, in states where firms are required to disclose fracturing fluid ingredients to regulators ex...
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作者：Hardouvelis, Gikas; Karalas, Georgios; Vayanos, Dimitri
作者单位：University of Piraeus; National Bureau of Economic Research; University of London; London School Economics & Political Science
摘要：We study the relationship between the distribution of investor beliefs, the breadth of ownership, and expected returns in a model where stocks differ in the intensity of disagreement and in the extent to which beliefs are polarized, as measured by the number of optimists and pessimists relative to moderates. Polarization explains the size-dependent relationship between breadth and expected returns that we find empirically: positive for large stocks and negative for small stocks. We also find e...
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作者：Atir, Stav; Dunning, David
作者单位：University of Wisconsin System; University of Wisconsin Madison; University of Michigan System; University of Michigan
摘要：Education is a primary engine for gaining knowledge, yet it is unclear if introductory education helps learners gain meta-knowledge, that is, an accurate awareness of the scope and limits of their knowledge. We found that after taking an introductory finance class, relative to a control class, students overclaimed more knowledge they did not have, that is, endorsed more familiarity with bogus finance terms and expressed more confidence under incentives in their ability to answer questions abou...
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作者：Davis, Douglas; Cox, Caleb; Korenok, Oleg; Lightle, John
作者单位：Virginia Commonwealth University
摘要：Financial market regulators have long debated the appropriate frequency of mandatory corporate financial disclosures. Whereas frequent disclosures may help deter overinvestment, they may also encourage short-termism. This paper reports an experiment that examines the effects of varying reporting frequencies on managerial investment decisions. Experimental results indicate that frequent reporting modestly induces shorttermism, but it fails to reduce the overinvestment observed in the infrequent...
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作者：Evans, Richard B.; Karaka, Oguzhan; Moussawi, Rabih; Young, Michael
作者单位：University of Virginia; University of Cambridge; Villanova University; University of Pennsylvania; University of Missouri System; University of Missouri Columbia
摘要：The short-selling of exchange-traded funds (ETFs) creates phantom ETF shares, trading at market prices, with cash flow rights but no associated voting rights. Unlike regular ETF shares backed by underlying securities, which are voted as directed by the ETF sponsor, phantom ETF shares are typically hedged by the underlying basket as part of marketmaking activities and result in a significant number of sidelined votes of underlying securities. We find that increases in phantom shares for the cor...
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作者：Tierney, Ryan; Zhou, Yu
作者单位：University of Southern Denmark; Southern University of Science & Technology; Nagoya University
摘要：We study an auction model for selling multiple heterogeneous objects, in which (i) each agent gets at most one object and has utility functions that accommodate wealth effects, and (ii) prices are adjusted discretely via some prefixed increment. A Walrasian equilibrium may not exist in the discrete price setting. We instead propose a novel equilibrium concept, tight equilibrium, that is compatible with discrete prices. A descending-price auction, requiring only partial demand information and f...
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作者：Cai, Junhui; Chen, Ran; Wainwright, Martin J.; Zhao, Linda
作者单位：University of Notre Dame; Washington University (WUSTL); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of Pennsylvania
摘要：Key challenges in running a business include deciding which products or services to present to consumers (the assortment problem) and how to price products (the pricing problem) to maximize revenue or profit. Instead of considering these problems isolation, we address assortment-pricing jointly and tackle the intrinsic doubly high dimensionality-both actions and contextual vectors can take continuous value in high dimensional spaces. We propose a doubly high-dimensional contextual bandit model...
