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作者：Gao, George P.; Lu, Xiaomeng; Song, Zhaogang
作者单位：Shanghai Jiao Tong University; Johns Hopkins University
摘要：We show that the beta with respect to an index of global ex ante tail risk concerns (GRIX), which we construct using out-of-the-money options on multiple global assets, negatively drives cross-sectional return variations across asset classes, including international equity indices, foreign currencies, and government bond futures. The pricing power of GRIX becomes stronger when more asset-class-level tail risk concerns are incorporated in the index construction. GRIX also dominates asset-class-...
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作者：Batt, Robert J.; Gallino, Santiago
作者单位：University of Wisconsin System; University of Wisconsin Madison; Dartmouth College
摘要：The rise in online and multichannel retailing has pushed retailers to give increased attention to their order-fulfillment operations. We study chaotic storage fulfillment systems in which dissimilar items are stored together in a single location. This necessitates a searching task as part of the picking process, which has not been previously studied. We show that pick times increase by as much as 16% as the searching task becomes more difficult. However, the deleterious effect of searching dec...
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作者：Adida, Elodie; Bravo, Fernanda
作者单位：University of California System; University of California Riverside; University of California System; University of California Los Angeles
摘要：This work focuses on the business-to-business interaction between a service requester and a service provider in a healthcare environment. The requester is the primary caregiver responsible for managing the health of a population of patients. When a patient requires advanced care outside of the requester's expertise, the requester refers the patient to a provider and pays for the referral services. Treatment may succeed or fail, and in the case of failure, the requester incurs further follow-up...
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作者：Sunar, Nur; Birge, John R.
作者单位：University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of Chicago
摘要：We consider a day-ahead electricity market that consists of multiple competing renewable firms (e.g., wind generators) and conventional firms (e.g., coal-fired power plants) in a discrete-time setting. The market is run in every period, and all firms submit their price-contingent production schedules in every day-ahead market. Following the clearance of a day-ahead market, in the next period, each (renewable) firm chooses its production quantity (after observing its available supply). If a fir...
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作者：Chiong, Khai Xiang; Shum, Matthew
作者单位：University of Texas System; University of Texas Dallas; California Institute of Technology
摘要：We introduce random projection, an important dimension-reduction tool from machine learning, for the estimation of aggregate discrete-choice models with high-dimensional choice sets. Initially, high-dimensional data are projected into a lower-dimensional Euclidean space using random projections. Subsequently, estimation proceeds using cyclical monotonicity moment inequalities implied by the multinomial choice model; the estimation procedure is semiparametric and does not require explicit distr...
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作者：Bolton, Gary E.; Kusterer, David J.; Mans, Johannes
作者单位：University of Texas System; University of Texas Dallas; University of Cologne
摘要：The reputation information provided by market feedback systems tends to be compressed in the sense that reliable and unreliable sellers have similar feedback scores. The experiment presented here features a market in which what a buyer receives is a noisy signal of what was actually sent. We focus on the influence the noise has on endogenously given feedback. The attributional uncertainty creates room for leniency in feedback giving. We find that buyer leniency reduces the informativeness of t...
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作者：Gonzalez, Tanja Artiga; Schmid, Markus; Yermack, David
作者单位：Vrije Universiteit Amsterdam; University of St Gallen; New York University; European Corporate Governance Institute; National Bureau of Economic Research
摘要：We study the effects of cartel participation on top corporate managers. Although a strong public interest exists in regulating price fixing, we find little evidence that either corporate governance or the legal system holds managers of cartel firms accountable. Instead, managers of cartel firms enjoy greater job security, receive higher cash bonuses, and more aggressively take profits from appreciated stock option awards. Legal sanctions against individual managers are infrequent, with enforce...
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作者：Cao, Charles; Gustafson, Matthew; Velthuis, Raisa
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Villanova University
摘要：This paper investigates the extent to which index membership affects small firm financing. Using a regression discontinuity specification around the lower cutoff of the Russell 2000 small-cap index, we find that index membership causes small firms to transition away from bank financing in favor of seasoned equity offerings. These effects are concentrated in the year following Russell 2000 additions and do not reverse immediately upon deletions. Liquidity, the elasticity of demand for equity, a...
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作者：Chabi-Yo, Fousseni; Colacito, Riccardo
作者单位：University of Massachusetts System; University of Massachusetts Amherst; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：We propose a new entropy-based correlation measure (coentropy) to evaluate the performance of international asset pricing models. Coentropy captures the codependence of two random variables beyond normality. We document that the coentropy of international stochastic discount factors (SDFs) can be decomposed into a series of entropy-based correlations of permanent and transitory components of the SDFs. We employ the cross section of G-10 countries to obtain model-free estimates of all the compo...
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作者：Cohen, Maxime C.; Keller, Philipp W.; Mirrokni, Vahab; Zadimoghaddam, Morteza
作者单位：New York University; Facebook Inc; Alphabet Inc.; Google Incorporated
摘要：This paper considers a traditional problem of resource allocation: scheduling jobs on machines. One such recent application is cloud computing; jobs arrive in an online fashion with capacity requirements and need to be immediately scheduled on physical machines in data centers. It is often observed that the requested capacities are not fully utilized, hence offering an opportunity to employ an overcommitment policy, that is, selling resources beyond capacity. Setting the right overcommitment l...
