-
作者：Arnott, Robert D.; Hsu, Jason C.; Liu, Jun; Markowitz, Harry
作者单位：Research Affiliates LLC; University of California System; University of California Los Angeles; University of California System; University of California San Diego; Shanghai Jiao Tong University
摘要：If the price of a stock differs from its intrinsic value by a random noise, then value stocks are more likely to have negative noise; they are thus more likely undervalued and have higher expected return than justified by risk. The same intuition applies to small capitalization stocks. We formally verify and explore this intuition by using a standard noise-in-price model. This intuition is different from the Jensen's inequality effect studied by Blume and Stambaugh [Blume ME, Stambaugh RF (198...
-
作者：Voleti, Sudhir; Kopalle, Praveen K.; Ghosh, Pulak
作者单位：Indian School of Business (ISB); Dartmouth College; Indian Institute of Management (IIM System); Indian Institute of Management Bangalore
摘要：We develop and implement a Bayesian semiparametric model of demand under interproduct competition that enables us to assess the respective contributions of brand-SKU (stock keeping unit) hierarchy and interproduct similarity to explaining and predicting demand. To incorporate brand-SKU hierarchy effects, we use Bayesian hierarchical clustering inherent in a nested Dirichlet process to simultaneously partition brands, and SKUs conditional on brands, into groups of similarity clusters. We examin...
-
作者：Boute, Robert N.; Van Mieghem, Jan A.
作者单位：Vlerick Business School; KU Leuven; Northwestern University
摘要：After decades of offshoring production across the world, companies are rethinking their global networks. Local sourcing is receiving more attention, but it remains challenging to balance the offshore sourcing cost advantage against the increased inventories, because of its longer lead time, and against the cost and (volume) flexibility of each source's capacity. To guide strategic allocation in this global network decision, this paper establishes reasonably simple prescriptions that capture th...
-
作者：Goetzendorff, Andor; Bichler, Martin; Shabalin, Pasha; Day, Robert W.
作者单位：Technical University of Munich; University of Connecticut
摘要：We introduce an auction design framework for large markets with hundreds of items and complex bidder preferences. Such markets typically lead to computationally hard allocation problems. Our new framework consists of compact bid languages for sealed-bid auctions and methods to compute second-price rules such as the Vickrey-Clarke-Groves or bidder-optimal, core-selecting payment rules when the optimality of the allocation problem cannot be guaranteed. To demonstrate the efficacy of the approach...
-
作者：Mitchell, Matthew; Skrzypacz, Andrzej
作者单位：University of Toronto; Stanford University
摘要：We analyze a model of industry evolution where the number of active submarkets is endogenously determined by pioneering innovation from incumbents and entrants. Incumbent pioneers enjoy an advantage of additional pioneering innovation via a dynamic capability that takes the form of an improved technology for innovation in young submarkets. Entrants are motivated in part by a desire to acquire the dynamic capability. We show that dynamic capabilities increase total innovation, but whether the c...
-
作者：Bartling, Bjoern; Brandes, Leif; Schunk, Daniel
作者单位：University of Zurich; University of Warwick; Johannes Gutenberg University of Mainz
摘要：We show that professional soccer players and their coaches exhibit reference-dependent behavior during matches. Controlling for the state of the match and for unobserved heterogeneity, we show on a minute-by-minute basis that players breach the rules of the game, measured by the referee's assignment of cards, significantly more often if their teams are behind the expected match outcome, measured by preplay betting odds of large professional bookmakers. We further show that coaches implement si...
-
作者：Diris, Bart; Palm, Franz; Schotman, Peter
作者单位：Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; Maastricht University; Maastricht University
摘要：We evaluate the out-of-sample performance of a long-term investor who follows an optimized dynamic trading strategy. Although the dynamic strategy is able to benefit from predictability out-of-sample, a short-term investor using a single-period market timing strategy would have realized an almost identical performance. The value of intertemporal hedge demands in strategic asset allocation appears negligible. The result is caused by the estimation error in predicting the predictors. A myopic in...
-
作者：Lof, Matthijs
作者单位：Aalto University
摘要：The vector autoregressive approach for testing present value models is applied to a heterogeneous-agent asset pricing model using historical observations of the S&P 500 index. Besides fundamentalists, who value assets according to expected dividends, the model features rational and contrarian speculators. Agents choose their strategy based on evolutionary considerations. Supplementing the standard present value model with speculative agents dramatically improves the model's ability to replicat...
-
作者：Shachat, Jason; Tan, Lijia
作者单位：Xiamen University; Xiamen University
摘要：In reverse auctions, buyers often retain the right to bargain further concessions from the winners. The optimal form of such procurement is an English auction followed by an auctioneer's option to engage in ultimatum bargaining with the winners. We study behavior and performance in this procurement format using a laboratory experiment. Sellers closely follow the equilibrium strategy of exiting the auction at their costs and then accepting strictly profitable offers. Buyers generally exercise t...
-
作者：Chehrazi, Naveed; Weber, Thomas A.
作者单位：University of Texas System; University of Texas Austin; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne
摘要：This paper introduces a dynamic model of the stochastic repayment behavior exhibited by delinquent creditcard accounts. Based on this model, we construct a dynamic collectability score (DCS) that estimates the account-specific probability of collecting a given portion of the outstanding debt over any given time horizon. The model integrates a variety of information sources, including historical repayment data, account-specific, and time-varying macroeconomic covariates, as well as scheduled ac...
