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作者：Chen, Huafeng (Jason); Chen, Shaojun (Jenny); Chen, Zhuo; Li, Feng
作者单位：Tsinghua University; Shanghai Jiao Tong University
摘要：We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one-month version of the industry momentum. Therefore, the pairs trading profits are largely explained by the short-term reversal and a version of the industry momentum.
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作者：Reimers, Mike; Xie, Claire (Chunying)
作者单位：Northeastern University
摘要：Coupons have been a mainstay of marketing for decades all over the world, but their short- and long-run effects on sales are still not understood fully. We develop a model of consumer demand to empirically study whether firms can indeed use coupons as a means to price discriminate by attracting new consumers without losing (cannibalizing) revenue from existing ones, and whether these new consumers return to the firm after the price promotion. In addition, we ask what types of businesses are mo...
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作者：Calvo, Eduard; Cui, Ruomeng; Serpa, Juan Camilo
作者单位：University of Navarra; IESE Business School; Emory University; McGill University
摘要：In the United States, 42% of public infrastructure projects report delays or cost overruns. To mitigate this problem, regulators scrutinize project operations. We study the effect of oversight on delays and overruns with 262,857 projects spanning 71 federal agencies and 54,739 contractors. We identify our results using a federal bylaw: if the project's budget is above a cutoff, procurement officers actively oversee the contractor's operations; otherwise, most operational checks are waived. We ...
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作者：Nambiar, Mila; Simchi-Levi, David; Wang, He
作者单位：Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University System of Georgia; Georgia Institute of Technology
摘要：We study a multiperiod dynamic pricing problem with contextual information, where the seller uses a misspecified demand model. The seller sequentially observes past demand, updates model parameters, and then chooses the price for the next period based on time-varying features. We show that model misspecification leads to a correlation between price and prediction error of demand per period, which, in turn, leads to inconsistent price elasticity estimates and hence suboptimal pricing decisions....
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作者：Kim, Incheol; Wan, Hong; Wang, Bin; Yang, Tina
作者单位：University of Texas System; University of Texas Rio Grande Valley; State University of New York (SUNY) System; State University of New York (SUNY) - Oswego; Marquette University; Villanova University
摘要：This paper studies the role of institutional investors in influencing corporate environmental, social, and governance (ESG) policies by analyzing the relation between institutional ownership and toxic release from facilities to which institutions are geographically proximate. We develop a local preference hypothesis based on the delegated philanthropy and transaction-costs theories. Consistent with the hypothesis, local institutional ownership is negatively related to facility toxic release. T...
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作者：Zeithammer, Robert
作者单位：University of California System; University of California Los Angeles
摘要：Several of the auction-driven exchanges that facilitate programmatic buying of internet display advertising have recently introduced soft floors in addition to standard reserve prices (called hard floors in the industry). A soft floor is a bid level below which a winning bidder pays his own bid instead of paying the second-highest bid as in a second-price auction most ad exchanges use by default. This paper characterizes soft floors' revenue-generating potential as a function of the distributi...
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作者：Bhatia, Sudeep
作者单位：University of Pennsylvania
摘要：We outline computational techniques for predicting perceptions of risk. Our approach uses the structure of word distribution in natural language data to uncover rich representations for a very large set of naturalistic risk sources. With the application of standard machine learning techniques, we are able to accurately map these representations onto participant risk ratings. Unlike existing methods in risk perception research, our approach does not require any specialized participant data and ...
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作者：Lu, Yixin; Gupta, Alok; Keller, Wolfgang; van Heck, Eric
作者单位：George Washington University; University of Minnesota System; University of Minnesota Twin Cities; University of Cologne; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：We develop a dynamic structural model of competitive bidding in multiunit sequential business-to-business auctions. Our model accounts for two notable characteristics of these auctions: (i) bidders have multiple purchase opportunities for the same product, and (ii) winning bidders in each round can acquire multiple units of the same product. We apply the model to bidding data from the world's largest flower wholesale market at which trades are facilitated through fast-paced, sequential, Dutch ...
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作者：Colliard, Jean-Edouard
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：The regulatory use of banks' internal models makes capital requirements more risk sensitive but invites regulatory arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can discourage arbitrage by auditing risk models and implements capital ratios less risk sensitive than in the first-best to reduce auditing costs. The optimal capital ratios of a national supervisor can be different from those set by supranational authorities, in w...
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作者：Kuntz, Ludwig; Scholtes, Stefan; Sulz, Sandra
作者单位：University of Cologne; University of Cambridge; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
摘要：Scholars have recently suggested the reorganization of general hospitals into organizationally separate divisions for routine and non-routine services to overcome operational misalignments between the two types of services. We provide empirical evidence for this proposal from a quality perspective, using over 250,000 patient discharge records from 60 German hospitals across 39 high-mortality disease segments, and focusing on in-hospital mortality as outcome. Disentangling the effects of high, ...
