Management Science

最新文章

• Asset Pricing with Disagreement and Uncertainty About the Length or Business Cycles AI翻译
  作者：Andrei, Daniel; Carlin, Bruce; Hasler, Michael
  作者单位：University of California System; University of California Los Angeles; University of Toronto
  摘要：We study an economy with incomplete information in which two agents are uncertain and disagree about the length of business cycles. That is, the agents do not question whether the economy is growing or not, but instead continuously estimate how long economic cycles will last-i.e., they learn about the persistence of fundamentals. Learning about persistence generates high and persistent stock return volatility mostly during recessions, but also (to a smaller extent) during economic booms. Disag...
• Population Monotonicity in Newsvendor Games AI翻译
  作者：Chen, Xin; Gao, Xiangyu; Hu, Zhenyu; Wang, Qiong
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Chinese University of Hong Kong; National University of Singapore; National University of Singapore
  摘要：A newsvendor game allows the players to collaborate on inventory pooling and share the resulting total cost. There are several possible ways to allocate the cost. Previous studies have focused on the core of the game. It is known that the core of the newsvendor game is nonempty, and one can use duality theory in stochastic programming to construct an allocation-referred to as the dual-based allocation-belonging to the core. Yet, an allocation that lies in the core does not necessarily guarante...
• The Role of Market Evolution in Channel Contracting AI翻译
  作者：Gao, Long; Mishra, Birendra K.
  作者单位：University of California System; University of California Riverside
  摘要：Real markets evolve over time. They often exhibit complex behaviors, such as autocorrelation, continuity, and nonstationarity. How do these behaviors affect channel contracting? We study the problem in a bilateral channel where the retailer has private information on evolving market conditions. We characterize the optimal contract under arbitrary market evolution. The central notion is market inertia: it prices retailer's information advantage, dictates price and quantity response over time, a...
• Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns AI翻译
  作者：Bakshi, Gurdip; Gao, Xiaohui; Rossi, Alberto G.
  作者单位：University System of Maryland; University of Maryland College Park
  摘要：We show that a model featuring an average commodity factor, a carry factor, and a momentum factor is capable of describing the cross-sectional variation of commodity returns. More parsimonious one- and two-factor models that feature only the average and/or carry factors are rejected. To provide an economic interpretation, we show that innovations in global equity volatility can price portfolios formed on carry, while innovations in a commodity-based measure of speculative activity can price po...
• Complementarity of Signals in Early-Stage Equity Investment Decisions: Evidence from a Randomized Field Experiment AI翻译
  作者：Bapna, Sofia
  作者单位：University of Minnesota System; University of Minnesota Twin Cities
  摘要：This study employs a randomized field experiment to causally identify what type of signal is likely to complement another signal in the context of financing technology ventures. The study examines the effect of product certification by expert intermediaries, prominent customers, and social proof (that is, others' interest in investing in a venture) on interest in investing. These three signals are primarily signals of a venture's product, market, and investment characteristics, respectively. T...
• Risk Analysis for Large Pools of Loans AI翻译
  作者：Sirignano, Justin; Giesecke, Kay
  作者单位：University of Illinois System; University of Illinois Urbana-Champaign; Stanford University
  摘要：Financial institutions, government-sponsored enterprises, and asset-backed security investors are often exposed to delinquency and prepayment risk from large numbers of loans. Examples include mortgages, credit cards, and auto, student, and business loans. Because of the size of the pools, the measurement of these exposures is computationally expensive. This paper develops and tests efficient numerical methods for the analysis of large pools of loans as well as asset-backed securities backed b...
• Coordination Is Hard: Electronic Auction Mechanisms for Increased Efficiency in Transportation Logistics AI翻译
  作者：Karaenke, Paul; Bichler, Martin; Minner, Stefan
  作者单位：Technical University of Munich; Technical University of Munich
  摘要：The lack of coordination among carriers leads to substantial inefficiencies in logistics. Such coordination problems constitute fundamental problems in supply chain management for their computational and strategic complexity. We consider the problem of slot booking by independent carriers at several warehouses and investigate recent developments in the design of electronic market mechanisms promising to address both types of complexity. Relax-and-round mechanisms describe a class of approximat...
• Multitasking and Subjective Performance Evaluations: Theory and Evidence from a Field Experiment in a Bank AI翻译
  作者：Manthei, Kathrin; Sliwka, Dirk
  作者单位：IZA Institute Labor Economics; University of Cologne; Leibniz Association; Ifo Institut
  摘要：We study the incentive effects of granting supervisors access to objective performance information when agents work on multiple tasks. We first analyze a formal model showing that incentives are lower powered when supervisors have no access to objective measures but assess performance subjectively by gathering information. This incentive loss is more pronounced when the span of control is larger and incentives are distorted toward more profitable tasks. We then investigate a field experiment c...
• Financing Capacity with Stealing and Shirking AI翻译
  作者：de Vericourt, Francis; Gromb, Denis
  作者单位：European School of Management & Technology; Hautes Etudes Commerciales (HEC) Paris
  摘要：We study a firm's capacity choice under demand uncertainty given that it must finance this investment externally. Sharing profits with investors causes governance problems affecting both capacity and demand: the firm may steal capital, which reduces effective capacity, and shirk on market development, which reduces demand. We adopt an optimal contracting approach whereby the firm optimizes among feasible financial claims derived endogenously. We characterize its optimal financing and capacity ...
• The Red, the Black, and the Plastic: Paying Down Credit Card Debt for Hotels, Not Sofas AI翻译
  作者：Quispe-Torreblanca, Edika G.; Stewart, Neil; Gathergood, John; Loewenstein, George
  作者单位：University of Warwick; University of Warwick; University of Nottingham; Carnegie Mellon University
  摘要：Using transaction data from a sample of 1.8 million credit card accounts, we provide the first field test of a major prediction of Prelec and Loewenstein's theory of mental accounting: that consumers will pay off expenditure on transient forms of consumption more quickly than expenditure on durables. According to the theory, this is because the pain of paying can be offset by the future anticipated pleasure of consumption only when money is spent on consumption that endures over time. Consiste...