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作者：Murphy, Ryan O.; ten Brincke, Robert H. W.
作者单位：University of Zurich; Swiss Federal Institutes of Technology Domain; ETH Zurich
摘要：An individual's tolerance of risk can be quantified by using decision models with tuned parameters that maximally fit a set of risky choices the individual has made. A goal of this model fitting procedure is to identify parameters that correspond to stable underlying risk preferences. These preferences can be modeled as an individual difference, indicating a particular decision maker's tastes and willingness to accept risk. Using hierarchical statistical methods, we show significant improvemen...
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作者：Tian, Weidong
作者单位：University of North Carolina; University of North Carolina Charlotte
摘要：This paper proposes the use of contingent capital with a call provision, in which the insurer has an option to redeem the contingent capital at any time. I characterize in detail a unique dynamic equilibrium of common stock, subordinated contingent capital, and a senior standard bond under a simple yet sufficient and necessary condition that can be implemented easily. I further show that the issuance of callable contingent capital does not affect the default risk of an outstanding senior stand...
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作者：Halaburda, Hanna; Piskorski, Mikolaj Jan; Yildirim, Pinar
作者单位：Bank of Canada; New York University; International Institute for Management Development (IMD); University of Pennsylvania
摘要：We show that a two-sided matching platform can successfully compete by limiting the number of choices it offers to its customers, while charging higher prices than platforms with unrestricted choice. We develop a stylized model of online dating where agents with different outside options match based on how much they like each other. Starting from these microfoundations, we derive the strength and direction of indirect network effects and show that increasing the number of potential matches has...
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作者：Mukherjee, Anirban; Kadiyali, Vrinda
作者单位：Singapore Management University; Cornell University
摘要：We study the market for new (movie) DVDs in the United States. Our demand model captures seasonality, freshness (i.e., time between theatrical and DVD release), and state dependence. We also develop a structural model of dynamic competition in which studios balance waiting for high-demand weeks, against reduced freshness, and against competitive crowding. We find that studios emphasize DVD revenues from larger movies (by theatrical revenue) over DVD revenues from smaller movies. Studios also e...
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作者：Jame, Russell
作者单位：University of Kentucky
摘要：I investigate whether hedge funds that supply liquidity earn superior returns. Using transaction data, I find that hedge funds following short-term contrarian strategies (i.e., liquidity suppliers) earn significantly higher returns on their equity trades and holdings. Similarly, using commercial databases, I find that hedge funds with greater exposure to a liquidity provision factor earn significantly higher excess returns and Sharpe ratios. The superior performance of liquidity-supplying hedg...
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作者：Younkin, Peter; Kuppuswamy, Venkat
作者单位：McGill University; University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
摘要：The dearth of minority entrepreneurs has received increasing media attention but few academic analyses. In particular, the funding process creates challenges for either audit or correspondence methods, making it difficult to assess the role, or type, of discrimination influencing resource providers. We use a novel approach that combines analyses of 7,617 crowdfunding projects with an experimental design to identify whether African American men are discriminated against and whether this reflect...
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作者：Hu, Ming; Li, Yang; Wang, Jianfu
作者单位：University of Toronto; Chinese University of Hong Kong; Nanyang Technological University
摘要：How would the growing prevalence of real-time delay information affect a service system? We consider a single-server queueing system where customers arrive according to a Poisson process and the service time follows an exponential distribution. There are two streams of customers, one informed about real-time delay and the other uninformed. The customers' uninformed behavior may be due to information ignorance or rational behavior in the presence of an information fee. We characterize the equil...
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作者：Aksaray, Gorkem; Thompson, Peter
作者单位：Emory University; University System of Georgia; Georgia Institute of Technology
摘要：This paper reports on a new examination of the well-established negative effect of localized density on survival in established industries. We attempt to discriminate between three competing, but not necessarily mutually exclusive, explanations: resource competition, variations in the opportunity costs of entrepreneurship, and geographic variations in minimum efficient scale (MES). We construct a model of firm growth and survival in which each of these potential causes of density dependence ha...
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作者：Hwang, Chuan-Yang; Li, Yuan
作者单位：Nanyang Technological University; University of Cambridge; University of Cambridge
摘要：Stocks with higher forecast dispersion earn lower future returns and have a greater upward bias in the mean reported earnings forecast in international markets. Both phenomena are stronger in countries with more transparent information environments, more developed stock markets, stronger investor protection, greater capital openness, and more intense usage of analysts' earnings forecasts. Using the 1997-1998 Asian financial crisis as a natural experiment, we find that both phenomena become wea...
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作者：Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
作者单位：University of London; London School Economics & Political Science; Imperial College London
摘要：We use novel data on individual activity in a sports betting market to study the effect of past performance sequences on individual behavior in a real market. The idiosyncratic nature of risk in this market and the revelation of assets' true terminal values enables us to disentangle whether behavior is caused by sentiment or by superior information about market mispricings and to cleanly test two prominent theories of momentum and reversals-the regime-shifting model of Barberis et al. [Barberi...
