-
作者：Lim, Andrew E. B.; Shanthikumar, J. George; Vahn, Gah-Yi
作者单位：National University of Singapore; University of California System; University of California Berkeley; Purdue University System; Purdue University; University of London; London Business School
摘要：In this paper, we formulate a single-period portfolio choice problem with parameter uncertainty in the framework of relative regret. Relative regret evaluates a portfolio by comparing its return to a family of benchmarks, where the benchmarks are the wealths of fictitious investors who invest optimally given knowledge of the model parameters, and is a natural objective when there is concern about parameter uncertainty or model ambiguity. The optimal relative regret portfolio is the one that pe...
-
作者：Solnik, Bruno; Zuo, Luo
作者单位：Hong Kong University of Science & Technology; Hautes Etudes Commerciales (HEC) Paris; Massachusetts Institute of Technology (MIT)
摘要：We develop a global equilibrium asset pricing model assuming that investors suffer from foreign aversion, a preference for home assets based on familiarity. Using a utility formulation inspired by regret theory, we derive closed-form solutions. When the degree of foreign aversion is high in a given country, investors place a high valuation on domestic equity, which results in a low expected return. Thus, the model generates the simple prediction that a country's degree of home bias and the exp...
-
作者：Burks, Stephen V.; Krupka, Erin L.
作者单位：University of Minnesota System; University of Minnesota Morris; IZA Institute Labor Economics; University of Nottingham; University of Michigan System; University of Michigan
摘要：We use an incentive-compatible economic experiment and surveys in the field at a large financial services firm to identify the norms for on-the-job behavior among financial advisers and their leaders, and the normative expectations each group has of the other. We examine whistle-blowing on a peer, an incentive clash between serving the client and earning commissions, and a dilemma about fiduciary responsibility to a client. We find patterns of agreement among advisers, among leaders, and betwe...
-
作者：Olivares, Marcelo; Weintraub, Gabriel Y.; Epstein, Rafael; Yung, Daniel
作者单位：Columbia University; Universidad de Chile
摘要：In this paper we conduct an empirical investigation of a large-scale combinatorial auction (CA)-the Chilean auction for school meals in which the government procures half a billion dollars worth of meal services every year. Our empirical study is motivated by two fundamental aspects in the design of CAs: (1) which packages should bidders be allowed to bid on and (2) diversifying the supplier base to promote competition. We use bidding data to uncover important aspects of the firms' cost struct...
-
作者：Choi, Jeonghye; Bell, David R.; Lodish, Leonard M.
作者单位：Yonsei University; University of Pennsylvania
摘要：Geographic variation in consumer use of Internet retailers is partly explained by variation in offline shopping costs. Explanations for geographic variation in the efficacy of different customer acquisition methods including traditional methods of offline word-of-mouth (WOM) and magazine advertising and information systems (IS)-enabled methods of online WOM and online search remain unexplored. We estimate a multivariate negative binomial distribution (NBD) model on zip code-level customer coun...
-
作者：Green, T. Clifton; Hwang, Byoung-Hyoun
作者单位：Emory University; Purdue University System; Purdue University
摘要：We find that initial public offerings (IPOs) with high expected skewness experience significantly greater first-day returns. The skewness effect is stronger during periods of high investor sentiment and is related to differences in skewness across industries as well as to time-series variation in the level of skewness in the market. IPOs with high expected skewness earn more negative abnormal returns in the following one to five years. High expected skewness is also associated with a higher fr...
-
作者：Bertsimas, Dimitris; Farias, Vivek F.; Trichakis, Nikolaos
作者单位：Massachusetts Institute of Technology (MIT); Harvard University
摘要：This paper deals with a basic issue: How does one approach the problem of designing the right objective for a given resource allocation problem? The notion of what is right can be fairly nebulous; we consider two issues that we see as key: efficiency and fairness. We approach the problem of designing objectives that account for the natural tension between efficiency and fairness in the context of a framework that captures a number of resource allocation problems of interest to managers. More p...
-
作者：Oestreicher-Singer, Gal; Sundararajan, Arun
作者单位：Tel Aviv University; New York University
摘要：Online commercial interactions have increased dramatically over the last decade, leading to the emergence of networks that link the electronic commerce landing pages of related products to one another. Our paper conjectures that the explicit visibility of such product networks can alter demand spillovers across their constituent items. We test this conjecture empirically using data about the copurchase networks and demand levels associated with more than 250,000 interconnected books offered on...
-
作者：Uelkue, Sezer; Dimofte, Claudiu V.; Schmidt, Glen M.
作者单位：Georgetown University; California State University System; San Diego State University; Utah System of Higher Education; University of Utah
摘要：Although product modularity is often advocated as a design strategy in the operations management literature, little is known about how consumers respond to modular products. In this research we undertake several experiments to explore consumer response to modularly upgradeable products in settings featuring technological change. We consider both the initial product choice (between a modularly upgradeable product and an integral one) and the subsequent upgrade decision (replacement of a module ...
-
作者：Bhattacharya, Utpal; Holden, Craig W.; Jacobsen, Stacey
作者单位：Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Southern Methodist University
摘要：This paper provides evidence that stock traders focus on round numbers as cognitive reference points for value. Using a random sample of more than 100 million stock transactions, we find excess buying (selling) by liquidity demanders at all price points one penny below (above) round numbers. Further, the size of the buy-sell imbalance is monotonic in the roundness of the adjacent round number (i.e., largest adjacent to integers, second-largest adjacent to half-dollars, etc.). Conditioning on t...
