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作者：Liu, Xuewen
作者单位：Hong Kong University of Science & Technology
摘要：This paper investigates the mechanism through which short selling of a bank's stocks can trigger the failure of the bank. In the model, creditors, who learn information from stock prices, will grow increasingly unsure about the bank's true fundamentals in facing noisier stock prices; thus a run on the bank is more likely because of creditors' concave payoff. Understanding this, speculators conduct short selling beforehand to amplify (il)liquidity and add noise to stock prices, triggering a ban...
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作者：Mishra, Himanshu; Mishra, Arul; Moreno, Oscar
作者单位：Utah System of Higher Education; University of Utah
摘要：In instances of decision making under uncertainty with a visual component, we propose that individuals show a bias and estimate a higher probability of a threat affecting them if the threat is located in their left visual field compared to their right visual field. Across four studies we demonstrate the bias in naturalistic settings such as pedestrians assessing the risk of crossing the street, individuals estimating the risk posed from an unsavory person, and people assessing the contaminatio...
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作者：Brogaard, Jonathan; Detzel, Andrew
作者单位：University of Washington; University of Washington Seattle
摘要：Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ (2013) Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty (EPU) in the United States, we find that EPU positively forecasts log excess market returns. An increase of one standard deviation in EPU is associated with a 1.5% increase in forecasted three-month abnormal returns (6.1% annualized). Furthermore, innovations in EPU earn a significant neg...
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作者：Aiken, Adam L.; Clifford, Christopher P.; Ellis, Jesse
作者单位：Quinnipiac University; University of Kentucky; North Carolina State University
摘要：We examine the portfolio holdings of funds of hedge funds (FoFs) to identify the channels through which FoFs add value for their clients. FoFs offer access to a diversified portfolio of funds that would be costly for constrained investors to manage on their own. Although we find only limited evidence that FoFs exhibit skill when selecting hedge funds, we find strong evidence that FoFs make skillful termination decisions. After FoFs divest from a hedge fund, those hedge funds subsequently under...
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作者：Hasan, Sharique; Bagde, Surendrakumar
作者单位：Stanford University
摘要：Much research suggests that social networks affect individual and organizational success. However, a strong assumption underlying this research is that network structure is not reducible to the individual attributes of social actors. In this article, we test this assumption by examining whether interacting with random peers causes exogenous growth of a person's network. Using three years of network data for students at an Indian college, we evaluate the effect of peers on network growth. We fi...
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作者：Balseiro, Santiago R.; Besbes, Omar; Weintraub, Gabriel Y.
作者单位：Duke University; Columbia University
摘要：Ad exchanges are emerging Internet markets where advertisers may purchase display ad placements, in real time and based on specific viewer information, directly from publishers via a simple auction mechanism. Advertisers join these markets with a prespecified budget and participate in multiple second-price auctions over the length of a campaign. This paper studies the competitive landscape that arises in ad exchanges and the implications for publishers' decisions. The presence of budgets intro...
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作者：Kolsarici, Ceren; Vakratsas, Demetrios
作者单位：Queens University - Canada; McGill University
摘要：Adaptive estimation methods have become a popular tool for capturing and forecasting changing conditions in dynamic environments. Although adaptive models can provide superior one-step-ahead forecasts, their application to multiperiod forecasting is challenging when the underlying parameter variation process is not correctly specified. The authors propose a methodology based on the Chebyshev approximation method (CAM), which provides a parsimonious substitute for the measurement updating proce...
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作者：Pierce, Lamar; Snow, Daniel C.; McAfee, Andrew
作者单位：Washington University (WUSTL); Brigham Young University; Massachusetts Institute of Technology (MIT)
摘要：This paper examines how firm investments in technology-based employee monitoring impact both misconduct and productivity. We use unique and detailed theft and sales data from 392 restaurant locations from five firms that adopt a theft monitoring information technology (IT) product. We use difference-in-differences models with staggered adoption dates to estimate the treatment effect of IT monitoring on theft and productivity. We find significant treatment effects in reduced theft and improved ...
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作者：Larson, Chad R.; Turcic, Danko; Zhang, Fuqiang
作者单位：University of Houston System; University of Houston; Washington University (WUSTL)
摘要：Adaptive base stock policy is a well-known tool for managing inventories in nonstationary demand environments. This paper presents empirical tests of this policy using aggregate, firm-level data. First, we extend a single-item adaptive base stock policy in previous literature to a multi-item case. Second, we transform the policy derived for the multi-item case to a regression model that relates firm-level inventory purchases to firm-level sales and changes in sales forecasts. We focus on two r...
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作者：Yu, Man; Kapuscinski, Roman; Ahn, Hyun-Soo
作者单位：Hong Kong University of Science & Technology; University of Michigan System; University of Michigan
摘要：We examine the impact of consumer valuation interdependence and capacity on a firm's optimal selling strategies. We consider a seller who can offer a single product to consumers twice, in advance and in spot. Consumers choose whether and when to buy, but if they buy in advance, they are uncertain about their own valuations. Whether they buy in advance or in spot, consumers' valuations are realized in the spot period and they may range from fully independent to perfectly correlated, creating ma...
