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作者：Mueller, Alfred; Scarsini, Marco; Tsetlin, Ilia; Winkler, Robert L.
作者单位：Universitat Siegen; Luiss Guido Carli University; INSEAD Business School; Duke University
摘要：We develop a continuum of stochastic dominance rules, covering preferences from first- to second-order stochastic dominance. The motivation for such a continuum is that while decision makers have a preference for more is better, they are mostly risk averse but cannot assert that they would dislike any risk. For example, situations with targets, aspiration levels, and local convexities in induced utility functions in sequential decision problems may lead to preferences for some risks. We relate...
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作者：Kahale, Nabil
作者单位：heSam Universite; ESCP Business School
摘要：We give a method based on convex programming to calculate the optimal super-replicating and subreplicating prices and corresponding hedging portfolios of a financial derivative in terms of other financial derivatives in a discrete-time setting. Our method produces a model that matches the superreplicating (or subreplicating) price within an arbitrary precision and is consistent with the other financial derivatives prices. Applications include robust replication in terms of call prices with var...
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作者：Chadi, Adrian; Jeworrek, Sabrina; Mertins, Vanessa
作者单位：Universitat Trier
摘要：This experiment tests for a causal relationship between the meaning of work and employees' motivation to perform well. The study builds on an existing employer-employee relationship, adding realism to the ongoing research of task meaning. Owing to an unexpected project cancelation, we are able to study how varying the information provided about the meaning of previously conducted work-without the use of deception, but still maintaining a high level of control-affects subsequent performance. We...
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作者：Xu, Kaiquan; Chan, Jason; Ghose, Anindya; Han, Sang Pil
作者单位：Nanjing University; Nanjing University; University of Minnesota System; University of Minnesota Twin Cities; New York University; Arizona State University; Arizona State University-Tempe
摘要：The introduction of tablets in online retailing has created an additional touch-point through which e-commerce firms can interact with consumers. In this paper, we seek to understand and measure the causal impact of tablets on e-commerce sales. In doing so, we examine the complementary and substitution impact of the tablet channel on the smartphone and PC channels. We rely on a unique data set from Alibaba, the largest e-commerce firm in the world, and exploit a natural experiment via the iPad...
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作者：Delis, Manthos D.; Staikouras, Panagiotis K.; Tsoumas, Chris
作者单位：University of Surrey; University of Piraeus; Hellenic Open University
摘要：Employing a unique data set for the period 2000-2010, this paper examines the impact of formal enforcement actions targeting the core of the banks' financial safety and soundness in terms of bank capital, risk, and performance. We find that, on average, these actions reduce both the risk-weighted assets and the nonperforming loans ratios of punished banks, but there is no increase in the level of regulatory capital. These effects are less powerful during the postcrisis period, suggesting that ...
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作者：Lim, Michael K.; Mak, Ho-Yin; Shen, Zuo-Jun Max
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University of Oxford; University of California System; University of California Berkeley; University of California System; University of California Berkeley
摘要：Strategic supply chain design decisions are critical to the long-term success of a business. Traditional facility location models for supply chain design focus on the trade-offs between the costs and benefits of proximity, i.e., the distance between facilities and customers. These strategic-focused models do not consider the supply chain's agility, i.e., its ability to quickly respond to unexpected fluctuations in customer needs. In this paper, we study the problem of designing a supply chain ...
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作者：Hildebrand, Thomas; Puri, Manju; Rocholl, Joerg
作者单位：Duke University; National Bureau of Economic Research; European School of Management & Technology
摘要：This paper analyzes the substantially growing markets for crowdfunding, in which retail investors lend to borrowers without financial intermediaries. Critics suggest that these markets allow sophisticated investors to take advantage of unsophisticated investors. The growth and viability of these markets critically depend on the underlying incentives. We provide evidence of perverse incentives in crowdfunding that are not fully recognized by the market. In particular, we look at group leader bi...
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作者：Hardisty, David J.; Pfeffer, Jeffrey
作者单位：University of British Columbia; Stanford University
摘要：Three studies explored the effects of uncertainty on people's time preferences for financial gains and losses. In general, individuals seek to avoid uncertainty in situations of intertemporal choice. While holding the expected value of payouts constant, participants preferred immediate gains and losses if the future was uncertain, and preferred future gains and losses if the present was uncertain. This pattern of preferences is incompatible with current models of intertemporal choice, in which...
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作者：Liu, Qi; Tao, Libin; Wu, Weixing; Yu, Jianfeng
作者单位：Peking University; University of International Business & Economics; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities
摘要：Numerous studies argue that the market risk premium is associated with expected economic conditions and show that proxies for expected business conditions indeed predict aggregate market returns. By directly estimating short- and long-run expected economic growth, we show that short- run expected economic growth is negatively related to future returns, whereas long-run expected economic growth is positively related to aggregate market returns. In addition, our findings indicate that the risk p...
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作者：Fu, Michael C.; Li, Bingqing; Li, Guozhen; Wu, Rongwen
作者单位：University System of Maryland; University of Maryland College Park; University System of Maryland; University of Maryland College Park; Nankai University; Capital One Financial Corporation
摘要：We obtain a closed-form solution for pricing European options under a general jump-diffusion model that can incorporate arbitrary discrete jump-size distributions, including nonparametric distributions such as an empirical distribution. The flexibility in the jump-size distribution allows the model to better capture leptokurtic features found in real-world data. The model uses a discrete-time framework and leads to a pricing formula that is provably convergent to the continuous-time price as t...
