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作者：Haan, Peter; Sun, Chen; Sunde, Uwe; Weizsacker, Georg
作者单位：Free University of Berlin; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Fudan University; Shanghai Institute for Mathematics & Interdisciplinary Sciences; Humboldt University of Berlin; University of Munich; Centre for Economic Policy Research - UK; Leibniz Association; Ifo Institut; IZA Institute Labor Economics
摘要：We examine the additivity of expectations over different time intervals. For example, when asked about 10-year stock price growth, survey respondents report an expected change that is not equal to, but closer to zero than, the sum of their expectations over two shorter time intervals that cover the same 10 years. Such subadditivity, which we also find in expectations for other economic variables, is irrational, as it cannot stem from aggregating short-term expectations. Model estimates show th...
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作者：Hu, Tiayin; Liu, Songrui; Yao, Yang; Zong, Zhu
作者单位：Peking University; Peking University; Peking University; Renmin University of China
摘要：We document a novel trade-credit channel through which government deleveraging affects the private economy. Our empirical analysis exploits China's 2017 deleveraging campaign that reduced local governments' net financing capacity and a purpose-built data set of listed firms matched with government procurement contracts. Compared with noncontractors, private contractors experience larger increases in accounts receivable and deterioration in financial conditions, leading to fewer investments, wo...
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作者：Zou, Tianxin; Wu, Yue; Sarvary, Miklos
作者单位：State University System of Florida; University of Florida; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Columbia University
摘要：User-generated content platforms use recommendation systems (RSs) to deliver content from a vast number of creators to a diverse audience based on content quality and its match to consumers' tastes. Existing research has primarily examined their impact on demand-side factors, such as the quality and variety of content consumption. In contrast, less attention has been paid to their influence on supply-side factors, including creators' entry and quality decisions and their interaction with users...
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作者：Aouad, Ali; Desir, Antoine
作者单位：INSEAD Business School; Massachusetts Institute of Technology (MIT)
摘要：Motivated by the successes of deep learning, we propose a class of neural network-based discrete choice models, called RUMnets, inspired by the random utility maximization (RUM) framework. This model formulates the agents' random utility function using a sample average approximation. We show that RUMnets sharply approximate the class of RUM discrete choice models: Any model derived from random utility maximization has choice probabilities that can be approximated arbitrarily closely by a RUMne...
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作者：Wendt, Kai; Babich, Volodymyr; Hellwig, Daniel; Huchzermeier, Arnd
作者单位：WHU - Otto Beisheim School of Management; Georgetown University
摘要：We study a supply chain distribution system and investigate experimentally operations of markets where retailers can trade digital claims (tokens) on the supplier's capacity. Subjects play the role of retailers, have heterogeneous valuations of goods, face random demands, and buy tokens on the supplier's capacity. Following demand realization, retailers trade tokens with each other in markets implemented as double-sided, single-price, blind, batch auctions. We compare six behavioral treatments...
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作者：Wu, Lintong; Zhang, Ruixun; Dai, Yuehao
作者单位：Peking University; Peking University; Peking University; Peking University
摘要：We develop spectral volume models to systematically estimate, explain, and exploit the high-frequency periodicity in intraday trading activities using Fourier analysis. The framework consistently recovers periodicities at specific frequencies in three steps, despite their low signal-to-noise ratios. This reveals persistent and universal highfrequency periodicities in the United States and Chinese stock markets in recent years, and the dominant frequencies explain a significant fraction of the ...
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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：Hong, Claire Yurong; Lu, Xiaomeng; Pan, Jun
作者单位：Shanghai Jiao Tong University; Fudan University
摘要：We study household finance in the age of FinTech, where digital payments are integrated with various financial services through all-in-one super apps. We hypothesize that increased FinTech adoption via digital payments can lower the nonmonetary costs (e.g., psychological barriers) associated with financial market participation. We find that higher FinTech adoption leads to greater participation and increased risk taking in mutual fund investments. Using distance from Ant as an instrument for F...
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作者：Cao, Junyu
作者单位：University of Texas System; University of Texas Austin
摘要：We formulate a collaborative learning and decision-making problem involving contextual information. In current business practices, pricing and recommendation decisions often are made jointly by multiple teams in sequence. The decision-making processes for different teams can be controlled by either a centralized or decentralized planner. We propose a simple collaboration framework that integrates the learning about decision making in an unknown environment. The main challenge in a decentralize...
