-
作者：Li, Shujing; Qiu, Jiaping
作者单位：McMaster University
摘要：By distancing themselves from others in risk factor loadings, mutual funds yield distinct returns and become better-performing funds in different market situations. This enables mutual funds to obtain stochastic market power and charge higher fees than they could otherwise. This strategy fundamentally differs from the conventional market segmentation strategy that targets investors with heterogeneous preferences. We present a model to study this novel form of financial product differentiation ...
-
作者：Servaes, Henri; Tamayo, Ane
作者单位：University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of London; London School Economics & Political Science
摘要：This paper studies how industry peers respond when another firm in the industry is the subject of a hostile takeover attempt. The industry peers cut their capital spending, free cash flows, and cash holdings, and increase their leverage and payouts to shareholders. They also adopt more takeover defenses. The stock price reaction upon announcement of the takeover is positive and larger for peer firms with higher capital spending and higher free cash flows. Before the takeover attempt, the peer ...
-
作者：Gallego, Guillermo; Talebian, Masoud
作者单位：Columbia University; University of Newcastle
摘要：We consider a game between two capacity providers that compete for customers through a broker who earns commissions on sales and sells to both loyal and nonloyal customers. The providers compete by selecting commission margins and sales targets above which the margins on total sales increase. We study the contract form in equilibrium and the effect that sales targets have on the profit split between the providers and the broker. We show that in equilibrium, contracts require positive sales tar...
-
作者：Giesecke, Kay; Kim, Baeho; Kim, Jack; Tsoukalas, Gerry
作者单位：Stanford University; Korea University; JP Morgan Chase & Company; University of Pennsylvania
摘要：This paper formulates and solves the selection problem for a portfolio of credit swaps. The problem is cast as a goal program that entails a constrained optimization of preference-weighted moments of the portfolio value at the investment horizon. The portfolio value takes account of the exact timing of protection premium and default loss payments, as well as any mark-to-market profits and losses realized at the horizon. The constraints address collateral and solvency requirements, initial capi...
-
作者：Lemmon, Michael; Ni, Sophie Xiaoyan
作者单位：Utah System of Higher Education; University of Utah; Hong Kong University of Science & Technology
摘要：We find that the demand for stock options that increases exposure to the underlying is positively related to the individual investor sentiments and past market returns, whereas the demand for index options is invariant to these factors. These differences in trading patterns are also reflected in the differences in the composition of traders with different types of options-options on stocks are actively traded by individual investors, whereas trades in index options are more often motivated by ...
-
作者：Roels, Guillaume; Su, Xuanming
作者单位：University of California System; University of California Los Angeles; University of Pennsylvania
摘要：In this paper, we study how social planners should exploit social comparisons to pursue their objectives. We consider two modes of social comparison, referred to as behind-averse and ahead-seeking behaviors, depending on whether individuals experience a utility loss from underperforming or a utility gain from overperforming relative to their peers. Modeling social comparison as a game between players, we find that ahead-seeking behavior leads to output polarization, whereas behind-averse behav...
-
作者：Cho, Soo-Haeng
作者单位：Carnegie Mellon University
摘要：The well-known economic theory predicts that consumer price will fall after a horizontal merger when the amount of marginal cost reduction from operating synergies exceeds the premerger markup of a merging firm. However, when a horizontal merger occurs in a multitier decentralized supply chain where a finite number of firms compete at each tier, we show that this result holds only when a merger occurs at the tier that acts as the leader in the supply chain. In this supply chain, a horizontal m...
-
作者：He, Zhiguo; Li, Si; Wei, Bin; Yu, Jianfeng
作者单位：University of Chicago; Wilfrid Laurier University; Tsinghua University; Federal Reserve System - USA; University of Minnesota System; University of Minnesota Twin Cities
摘要：Uncertainty has qualitatively different implications than risk in studying executive incentives. We study the interplay between profitability uncertainty and moral hazard, where profitability is multiplicative with managerial effort. Investors who face greater uncertainty desire faster learning, and consequently offer higher managerial incentives to induce higher effort from the manager. In contrast to the standard negative risk-incentive trade-off, this learning-by-doing effect generates a po...
-
作者：Angalakudati, Mallik; Balwani, Siddharth; Calzada, Jorge; Chatterjee, Bikram; Perakis, Georgia; Raad, Nicolas; Uichanco, Joline
作者单位：Pacific Gas & Electric Company (PG&E); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
摘要：In this paper, we describe both applied and analytical work in collaboration with a large multistate gas utility. The project addressed a major operational resource allocation challenge that is typical to the industry. We study the resource allocation problem in which some of the tasks are scheduled and known in advance, and some are unpredictable and have to be addressed as they appear. The utility has maintenance crews that perform both standard jobs (each must be done before a specified dea...
-
作者：Bao, Yang; Datta, Anindya
作者单位：National University of Singapore
摘要：Managers and researchers alike have long recognized the importance of corporate textual risk disclosures. Yet it is a nontrivial task to discover and quantify variables of interest from unstructured text. In this paper, we develop a variation of the latent Dirichlet allocation topic model and its learning algorithm for simultaneously discovering and quantifying risk types from textual risk disclosures. We conduct comprehensive evaluations in terms of both conventional statistical fit and subst...
