-
作者：Belloni, Alexandre; Lopomo, Giuseppe; Wang, Shouqiang
作者单位：Duke University; University of Texas System; University of Texas Dallas
摘要：We study the effect of multilateral private information on the efficiency of markets where capacity-constrained upstream agents supply a resource to downstream entities facing uncertain end-demands. We analyze two models: a pooling system, in which a single downstream principal pools a resource from multiple upstream agents; and a distribution system, in which one upstream principal allocates a resource across multiple downstream agents. We show that the presence of multilateral private inform...
-
作者：Eufinger, Christian; Gill, Andrej
作者单位：University of Navarra; IESE Business School; Goethe University Frankfurt
摘要：This paper proposes a new regulatory approach that implements capital requirements contingent on executive incentive schemes. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea behind the proposed regulatory approach is thus that the more the compensation structure decouples the interests of bank managers from those of shareholders by curb...
-
作者：Gallus, Jana
作者单位：University of California System; University of California Los Angeles
摘要：This natural field experiment tests the effects of purely symbolic awards on volunteer retention in a public goods context. The experiment is conducted at Wikipedia, which faces declining editor retention rates, particularly among newcomers. Randomization assures that award receipt is orthogonal to previous performance. The analysis reveals that awards have a sizeable effect on newcomer retention, which persists over the four quarters following the initial intervention. This is noteworthy for ...
-
作者：Haliassos, Michael; Jansson, Thomas; Karabulut, Yigitcan
作者单位：Goethe University Frankfurt; Goethe University Frankfurt; Sveriges Riksbank; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
摘要：The recent influx of migrants and refugees into Europe and elsewhere raises questions as to whether migrant behavior reflects cultural predispositions and whether assimilation through exposure to host institutions can be expected. The paper focuses on financial behavior and uses high-quality administrative data on migrants and refugees to Sweden. It uncovers differences across cultural groups in how behavior relates to household characteristics, and shows that differences diminish with exposur...
-
作者：Cvitanic, Jaksa; Possamai, Dylan; Touzi, Nizar
作者单位：California Institute of Technology; Universite PSL; Universite Paris-Dauphine; Institut Polytechnique de Paris; Ecole Polytechnique
摘要：We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quadratic variation of the output, but not the individual components. This leads to moral hazard with respect to the risk choices of the agent. To find the optimal contract, we develop a novel approach to solving principal-agent problems: first, we ide...
-
作者：Post, Thierry; Kopa, Milos
作者单位：Koc University; Charles University Prague
摘要：We develop an optimization method for constructing investment portfolios that dominate a given benchmark portfolio in terms of third-degree stochastic dominance. Our approach relies on the properties of the semivariance function, a refinement of an existing superconvex dominance condition, and quadratic constrained programming. We apply our method to historical stock market data using an industry momentum strategy. Our enhanced portfolio generates important performance improvements compared wi...
-
作者：Peterson, Jonathan R.; Schneider, Henry S.
作者单位：Nazarbayev University; University of Louisiana System; Louisiana Technical University; Queens University - Canada
摘要：We document a basic characteristic of adverse selection in secondhand markets for durable goods: goods with higher observed quality may have more adverse selection and hence lower unobserved quality. We provide a simple theoretical model to demonstrate this result, which is a consequence of the interaction of sorting between drivers over observed quality and adverse selection over unobserved quality. We then offer empirical support using data on secondhand prices and repair rates of used cars ...
-
作者：Van Vlasselaer, Veronique; Eliassi-Rad, Tina; Akoglu, Leman; Snoeck, Monique; Baesens, Bart
作者单位：KU Leuven; Northeastern University; State University of New York (SUNY) System; Stony Brook University; University of Southampton
摘要：We study the impact of network information for social security fraud detection. In a social security system, companies have to pay taxes to the government. This study aims to identify those companies that intentionally go bankrupt to avoid contributing their taxes. We link companies to each other through their shared resources, because some resources are the instigators of fraud. We introduce GOTCHA!, a new approach to define and extract features from a time-weighted network and to exploit and...
-
作者：Zhang, Wei; Dasu, Sriram; Ahmadi, Reza
作者单位：University of Hong Kong; University of Southern California; University of California System; University of California Los Angeles
摘要：We study a microprocessor company selling short-life-cycle products to a set of buyers that includes large consumer electronic goods manufacturers. The seller has a limited capacity for each product and negotiates with each buyer for the price. Our analysis of their sales data reveals that larger purchases do not always result in bigger discounts. Instead, the discount curve is like an N. While existing theories cannot explain this non-monotonic pattern, we develop an analytical model and show...
-
作者：Ehling, Paul; Heyerdahl-Larsen, Christian
作者单位：BI Norwegian Business School; University of London; London Business School
摘要：Correlations of equity returns have varied substantially over time and remain a source of continuing policy debate. This paper studies stock market correlations in an equilibrium model with heterogeneous risk aversion. In the model, preference heterogeneity causes variations in the volatility of aggregate risk aversion from good to bad states. At times of high volatility in aggregate risk aversion, which is a common factor in returns, we see high correlations. The model matches average industr...
