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作者：Merrill, Craig B.; Nadauld, Taylor D.; Strahan, Philip E.
作者单位：University of Pennsylvania; Brigham Young University; Boston College; National Bureau of Economic Research
摘要：Structured finance boomed during the run-up to the 2008 financial crisis. Highly rated, structured securities offered higher yield than other similarly rated bonds because of their concentration of systematic risk, but regulatory capital requirements did not account for this risk. As a result, regulated entities facing capital constraints had an incentive to invest in them. We show that life insurance companies exposed to unrealized losses from low interest rates in the early 2000s increased t...
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作者：Wang, Teng
作者单位：Federal Reserve System - USA
摘要：Exploiting the heterogeneity in legal constraints on local bank employees' mobility, I show that access to local information influences banks' modes of expansion. As restrictions on interbank labor mobility are relaxed, banks entering a new market establish branches directly instead of acquiring incumbent branches, resulting in a shift of composition of entrants. The treatment effect is strengthened when information asymmetries between local banks and entrants are severe. Furthermore, I find a...
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作者：Kim, Tami; John, Leslie K.; Rogers, Todd; Norton, Michael, I
作者单位：University of Virginia; Harvard University; Harvard University
摘要：Firms are increasingly giving consumers the vote. Eight studies show that, when firms empower consumers to vote, consumers infer a series of implicit promises-even in the absence of explicit promises. We identify three implicit promises to which consumers react negatively when violated: representation (Experiments 1A-1C), consistency (Experiment 2), and nonsuppression (Experiment 3). However, when firms honor these implicit promises, voting can mitigate the disappointment that arises from rece...
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作者：Balseiro, Santiago R.; Gur, Yonatan
作者单位：Columbia University; Stanford University
摘要：In online advertising markets, advertisers often purchase ad placements through bidding in repeated auctions based on realized viewer information. We study how budget-constrained advertisers may compete in such sequential auctions in the presence of uncertainty about future bidding opportunities and competition. We formulate this problem as a sequential game of incomplete information, in which bidders know neither their own valuation distribution nor the budgets and valuation distributions of ...
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作者：Kouvelis, Panos; Wu, Xiaole; Xiao, Yixuan
作者单位：Washington University (WUSTL); Fudan University; City University of Hong Kong
摘要：We study hedging cash-flow risks in a supply chain where firms invest internal funds to improve production efficiencies. We offer a decomposition framework to capture the cost-reduction and flexibility effect of hedging. It allows us to understand how a firm's hedging choice depends on its supply chain partner's decision, and how such interaction is affected by supply chain characteristics such as market size, cash-flow volatility, and correlation. When firms' cash flows are independent of eac...
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作者：Dong, Jing; Yom-Tov, Elad; Yom-Tov, Galit B.
作者单位：Columbia University; Technion Israel Institute of Technology
摘要：We investigate the impact of delay announcements on the coordination within hospital networks using a combination of empirical observations and numerical experiments. We offer empirical evidence that suggests that patients take delay information into account when choosing emergency service providers and that such information can help increase coordination in the network, leading to improvements in the performance of the network, as measured by emergency department wait times. Our numerical res...
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作者：Tsoukalas, Gerry; Wang, Jiang; Giesecke, Kay
作者单位：University of Pennsylvania; Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Stanford University
摘要：We analyze the optimal execution problem of a portfolio manager trading multiple assets. In addition to the liquidity and risk of each individual asset, we consider cross asset interactions in these two dimensions, which substantially enriches the nature of the problem. Focusing on the market microstructure, we develop a tractable order book model to capture liquidity supply/demand dynamics in a multiasset setting, which allows us to formulate and solve the optimal portfolio execution problem....
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作者：Dong, Xi; Feng, Shu; Sadka, Ronnie
作者单位：City University of New York (CUNY) System; Baruch College (CUNY); Clark University; Boston College
摘要：This paper demonstrates that the ability of fund managers to create value depends on market liquidity conditions, which in turn introduces a liquidity risk exposure (beta) for skilled managers. We document an annual liquidity beta performance spread of 4% in the cross section of mutual funds over the period 1983-2014. Liquidity risk premia explain an insubstantial fraction of this spread; instead, the spread can be attributed to the differential ability of high liquidity beta funds to outperfo...
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作者：Benjaafar, Saif; Kong, Guangwen; Li, Xiang; Courcoubetis, Costas
作者单位：University of Minnesota System; University of Minnesota Twin Cities; Singapore University of Technology & Design
摘要：We describe an equilibrium model of peer-to-peer product sharing, or collaborative consumption, where individuals with varying usage levels make decisions about whether or not to own a homogeneous product. Owners are able to generate income from renting their products to nonowners while nonowners are able to access these products through renting on an as-needed basis. We characterize equilibrium outcomes, including ownership and usage levels, consumer surplus, and social welfare. We compare ea...
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作者：Chemama, Jonathan; Cohen, Maxime C.; Lobel, Ruben; Perakis, Georgia
作者单位：Universite Paris Saclay; New York University; Airbnb; Massachusetts Institute of Technology (MIT)
摘要：Governments use consumer incentives to promote green technologies (e.g., solar panels and electric vehicles). Our goal in this paper is to study how policy adjustments over time will interact with production decisions from the industry. We model the interaction between a government and an industry player in a two-period game setting under uncertain demand. We show how the timing of decisions affects the risk sharing between the government and the supplier, ultimately affecting the cost of the ...
