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作者：Banerjee, Suman; Huang, Shiyang; Nanda, Vikram; Xiao, Steven Chong
作者单位：Stevens Institute of Technology; University of Hong Kong; University of Texas System; University of Texas Dallas
摘要：We show that managerial learning from stock prices can lead to feedback loop vulnerability: corrective actions based on perceived negative market signals reduce the sensitivity of asset payoffs to stock market information. Less sensitivity discourages liquidity provision and increases the price impact of liquidity shocks. Interestingly, overconfident managers who disregard stock price information may be less vulnerable to the adverse price impact of nonfundamental liquidity shocks. Our empiric...
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作者：Barth, Andreas; Mansouri, Sasan; Woebbeking, Fabian
作者单位：Goethe University Frankfurt; Leibniz Association; Leibniz Institut fur Wirtschaftsforschung Halle (IWH); Martin Luther University Halle Wittenberg
摘要：Using a supervised machine learning framework on a large training set of questions and answers, we identify 1,364 trigrams that signal nonanswers in earnings call questions and answers (Q&A). We show that this glossary has economic relevance by applying it to contemporaneous stock market reactions after earnings calls. Our findings suggest that obstructing the flow of information leads to significantly lower cumulative abnormal stock returns and higher implied volatility. As both our method an...
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作者：Falk, Armin; Becker, Anke; Dohmen, Thomas; Huffman, David; Sundef, Uwe
作者单位：University of Bonn; Harvard University; Maastricht University; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; University of Munich
摘要：Incentivized choice experiments are a key approach tomeasuring preferences in economics but are also costly. Survey measures are a low-cost alternative but can suffer from additional forms of measurement error due to their hypothetical nature. This paper seeks to leverage the strengths of both approaches by proposing a new survey module on risk aversion, time discounting, trust, altruism, positive and negative reciprocity, in which survey items are selected based on ability to predict choices ...
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作者：Arslan, Hayri A.; Tereyagoglu, Necati; Yilmaz, Ovunc
作者单位：University of Texas System; University of Texas at San Antonio; University of South Carolina System; University of South Carolina Columbia; University of Colorado System; University of Colorado Boulder
摘要：Although variable pricing enables sports teams to respond to changing demand across games, reports point to somewhat limited implementation. In this paper, we study the implications of a switch to variable pricing on the primary and resale ticket markets using quasi-experimental data from the National Football League. Applying a difference-indifferences technique with propensity score weighting, we first show that the adoption of variable pricing increases primary market ticket sales by 1.59% ...
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作者：Kuzmina, Olga
作者单位：New Economic School; Centre for Economic Policy Research - UK
摘要：Using a unique panel data set of manufacturing rms in Spain in 1994-2006, I show that the use of exible (shorter and cheaper-to-re) employment contracts promotes debt nancing. I build the identication strategy on the intertemporal, cross-regional, and cross-gender variation in government subsidies that differentially encouraged rms to hire workers on the less exible contracts. A thought experiment of prohibiting an average rm from hiring workers on exible contracts suggests that such a rm shou...
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作者：Hasler, Michael; Jeanneret, Alexandre
作者单位：University of Texas System; University of Texas Dallas
摘要：We propose a macrofinance model that rationalizes robust features in equity index option markets. When rare disasters are followed by economic recoveries, the slope of the implied volatility term structure is positive in good times but turns negative in bad times. Additionally, implied volatility decreases with moneyness in bad times (volatility skew), whereas the shape becomes a smile in good times in the presence of rare economic booms. Our theory contributes to understanding the dynamics of...
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作者：Tsui, David; Vance, Marshall
作者单位：University of Southern California; Virginia Polytechnic Institute & State University
摘要：We examine the sorting role of broad-based equity pay using detailed employee-level data. We propose trust in management as an important characteristic over which equity pay sorts employees, as such pay typically leaves employees with concentrated positions in employer stock and therefore more exposed to the outcomes of management's actions. Consistent with this conjecture, we find that the relation between employees' perceptions of management's credibility and voluntary turnover intentions is...
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作者：Mai, Yunke; Hu, Bin
作者单位：University of Kentucky; University of Texas System; University of Texas Dallas
摘要：We consider the optimal operating policies of a free-to-play multiplayer game with a premium subscription to maximize its lifetime operating profit. Accounting for social comparisons between free and premium players, we model the game attracting or losing players with a hybrid of the Bass diffusion model and the replicator equation in evolutionary game theory. Leveraging optimal control theory, we characterize optimal dynamic pricing and advertising policies and show that the developer should ...
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作者：Corgnet, Brice; Deck, Cary; DeSantis, Mark; Hampton, Kyle; Kimbrough, Erik O.
作者单位：Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; emlyon business school; University of Alabama System; University of Alabama Tuscaloosa; Chapman University System; Chapman University; Chapman University System; Chapman University; Chapman University System; Chapman University
摘要：We attempt to replicate a seminal paper that offered support for the rational expectations hypothesis and reported evidence that markets with certain features aggregate dispersed information. The original results are based on only a few observations, and our attempt to replicate the key findings with an appropriately powered experiment largely fails. The resulting poststudy probability that market performance is better described by rational expectations than the prior information (Walrasian) m...
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作者：Hollstein, Fabian; Prokopczukb, Marcel
作者单位：Saarland University; Leibniz University Hannover; University of Reading
摘要：We analyze the relation between time-series predictability and factor investing. We use a large set of financial, macroeconomic, and technical variables to time-series-manage the market portfolio. A combination of the out-of-sample market excess return forecasts of all variables yields a managed market portfolio that generates alphas relative to cross-sectional factor models that exceed 5% per annum. More broadly, the relation between time-series evaluation measures and (multifactor) alphas is...
