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作者：Maurer, Thomas A.; Thuy-Duong To; Ngoc-Khanh Tran
作者单位：University of Hong Kong; University of New South Wales Sydney; Washington University (WUSTL)
摘要：We use principal component analysis on 55 bilateral exchange rates of 11 developed currencies to identify two important global risk sources in foreign exchange (FX) markets. The risk sources are related to Carry and Dollar but are not spanned by these factors. We estimate the market prices associated with the two risk sources in the cross-section of FX market returns and construct FX market-implied country-specific stochastic discount factors (SDFs). The SDF volatilities are related to interes...
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作者：Sulaeman, Johan; Wei, Kelsey D.
作者单位：National University of Singapore; University of Texas System; University of Texas Dallas
摘要：Using the setting of extreme mutual fund flow-driven trading pressure, this paper examines sell-side analysts' role in stabilizing capital markets. We find that a select group of analysts persistently issue price-correcting recommendation changes for stocks experiencing mutual fund flow-driven mispricing. Such recommendation changes are accompanied by little change to their concurrent earnings forecasts and appear to be driven by the superior research skill of these mispricing-sensitive analys...
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作者：Cortazar, Gonzalo; Millard, Cristobal; Ortega, Hector; Schwartz, Eduardo S.
作者单位：Pontificia Universidad Catolica de Chile; Simon Fraser University; University of California System; University of California Los Angeles; National Bureau of Economic Research
摘要：Even though commodity-pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures prices, but also analysts' forecasts of oil spot prices. We conclude that to obtain reasonable expected spot curves, analysts' forecasts should be used, either alone or jointly with futures data. The use o...
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作者：Yang, Luyi; Debo, Laurens G.; Gupta, Varun
作者单位：Johns Hopkins University; Dartmouth College; University of Chicago
摘要：Customers looking for service providers often face search frictions and have to trade off quality and availability. To understand customers' search behavior when they are confronted with a large collection of vertically differentiated, congested service providers, we build a model in which arriving customers conduct a costly sequential search to resolve uncertainty about service providers' quality and queue length and select one to join by optimal stopping rules. Customers search, in part, bec...
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作者：Dasgupta, Sudipto; Noe, Thomas H.
作者单位：Chinese University of Hong Kong; Lancaster University; Center for Economic & Policy Research (CEPR); University of Oxford; University of Oxford
摘要：Typically, shareholders are not sure whether boards act in their interest or have been captured by management. They are also less well informed than boards about firm investment opportunities and operating conditions. We develop a model, consistent with these observations, in which discretionary compensation payments to managers might increase firm value or might simply enrich managers at the expense of shareholders. After observing the board's compensation and investment policies, shareholder...
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作者：Lou, Yun
作者单位：Singapore Management University
摘要：I examine the effect of the disclosure of pending lawsuits in 10-K/Q filings on the contractual terms of newly issued bonds. I find that firms' decisions to disclose pending lawsuits and the amount of disclosed information (i.e., the level of disclosure) have opposite effects. Specifically, firms that disclose a higher proportion of their pending lawsuits face higher yields and are more likely to include default clauses pertaining to court judgments in the bond prospectuses. However, within th...
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作者：Rohde, Kirsten I. M.
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Many studies show that time preference data from experiments and surveys are related to field behavior. Time preference measures in these studies typically depend simultaneously on utility curvature, the level of impatience, and the change in the level of impatience. Thus, these studies do not allow one to establish which of these three components drivels) the field behavior of interest. Of these components, the change in the level of impatience is theoretically thought to be the main driver o...
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作者：Nagle, Frank
作者单位：University of Southern California
摘要：As open source software (OSS) is increasingly used as a key input by firms, understanding its impact on productivity becomes critical. This study measures the firm-level productivity impact of nonpecuniary (free) OSS and finds a positive and significant value-added return for firms that have an ecosystem of complementary capabilities. There is no such impact for firms without this ecosystem of complements. Dynamic panel analysis, instrumental variables, and a variety of robustness checks are u...
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作者：Brynjolfsson, Erik; Hui, Xiang; Liu, Meng
作者单位：Massachusetts Institute of Technology (MIT); Washington University (WUSTL)
摘要：Artificial intelligence (AI) is surpassing human performance in a growing number of domains. However, there is limited evidence of its economic effects. Using data from a digital platform, we study a key application of AI: machine translation. We find that the introduction of a new machine translation system has significantly increased international trade on this platform, increasing exports by 10.9%. Furthermore, heterogeneous treatment effects are consistent with a substantial reduction in t...
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作者：Nan, Lin; Wen, Xiaoyan
作者单位：Purdue University System; Purdue University; Texas Christian University
摘要：In this study, we examine whether imposing a penalty based on an earlier positive signal and a bad realized outcome can be welfare-improving. We find that imposing a penalty helps to improve investment efficiency, but it also brings a deadweight cost of potential penalty for entrepreneurs with good projects. We show that when a good project has a much larger chance to achieve a good outcome than a bad project or when a large proportion of the penalty can be reimbursed to the investor, it is op...
