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作者：Hu, Sang; Obloj, Jan; Zhou, Xun Yu
作者单位：The Chinese University of Hong Kong, Shenzhen; University of Oxford; University of Oxford; Columbia University
摘要：We develop an approach to solve the Barberis casino gambling model [Barberis N (2012) A model of casino gambling. Management Sci. 58(1):35-51] in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when to stop gambling by a prescribed deadline. We assume that the gambler can assist their decision using independent randomization. The problem is inherently time inconsistent because of the probability weighting in CPT, and we study both precommitte...
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作者：Dai, Min; Kou, Steven; Soner, H. Mete; Yang, Chen
作者单位：Hong Kong Polytechnic University; Boston University; Princeton University; Chinese University of Hong Kong
摘要：Although leveraged exchange-traded funds (ETFs) are popular products for retail investors, how to hedge them poses a great challenge to financial institutions. We develop an optimal rebalancing (hedging) model for leveraged ETFs in a comprehensive setting, including overnight market closure and market frictions. The model allows for an analytical optimal rebalancing strategy. The result extends the principle of aiming in front of target introduced by Garleanu and Pedersen (2013) from a constan...
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作者：Rathee, Shelly; Narula, Kritika; Mishra, Arul; Mishra, Himanshu
作者单位：Villanova University; Analysis Group Inc.; Utah System of Higher Education; University of Utah
摘要：Long wait times for patients are an important health policy issue in many countries, especially developing countries in which there is generally poorer health infrastructure, appointments are not very common, and the opportunity cost of competing life priorities is high. In this research, we examine via field experiments in health clinics in India whether providing numeric versus alphanumeric wait tokens can affect pain perceptions of patients and whether the type of tokens can also affect the...
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作者：Kamalahmadi, Masoud; Bretthauer, Kurt M.; Helm, Jonathan E.; Mills, Alex F.; Coe, Edwin C.; Judy-Malcolm, Alisa; Kara, Areeba; Pan, Julian
作者单位：University of Miami; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; City University of New York (CUNY) System; Baruch College (CUNY); Indiana University System; Indiana University Bloomington
摘要：Hospitalists are medical doctors that specialize in the care of hospitalized patients, a role that until recently belonged to primary care physicians. We develop an operational model of hospitalist-patient interactions with rounding and responding service modes, optimizing hospitalist caseload and case-mix to achieve the maximal reduction in patient length of stay (LOS). We show that hospitalists are effective at reducing LOS for patients with complex conditions, corroborating intuitive reason...
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作者：Agarwal, Sumit; Qian, Wenlan; Yeung, Bernard; Zheng, Huanhuan
作者单位：National University of Singapore; National University of Singapore
摘要：Based on a representative sample of consumer financial transaction data, this paper studies the consumption and savings response to a 2015 permanent increase in the marginal income tax of the high-income taxpayers. Using difference-in-differences regressions, controlling for individual and time fixed effects, we show robust results that the affected consumers experienced little change in their spending. The pattern is prevalent across consumer demographics and is found even among consumers who...
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作者：Shin, Minkyu; Shin, Jiwoong; Ghili, Soheil; Kim, Jaehwan
作者单位：City University of Hong Kong; Yale University; Korea University
摘要：This paper seeks to demonstrate the impact of the gig economy on product quality in seemingly unrelated local industries through the labor market. Our empirical context is the quality of service for restaurants in the city of Austin, and we examine how they were impacted by the exogenous exit and reentry of rideshare platforms, Uber and Lyft, because of regulatory changes. We leverage these exogenous shocks and combine them with sentiment-analyzed data from Yelp reviews that capture how custom...
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作者：Da, Zhi; Tang, Ke; Tao, Yubo; Yang, Liyan
作者单位：University of Notre Dame; Tsinghua University; University of Macau; University of Macau; University of Toronto; Peking University
摘要：Recent financialization in commodity markets makes it easier for institutional investors to trade a portfolio of commodities via various commodity-indexed products. We present several pieces of novel causal evidence that daily exposure to such index trading results in price overshoots and reversals, as reflected in negative daily return autocorrelations, only among commodities in that index. This is because index trading propagates non fundamental noise to all indexed commodities. We present d...
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作者：Unal, Murat; Park, Young-Hoon
作者单位：Cornell University
摘要：E-commerce retailers are increasingly faced with challenges of finding ways to provide a seamless shopping experience to customers. The checkout process and its related touch points are especially critical in shaping the customer experience. We study the impact of adopting one-click buying, a feature that reduces the number of steps required to place a purchase order to a single click, on subsequent customer behavior. Using quasi-experimental data over a period of 35 months from an online reta...
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作者：Drakopoulos, Kimon; Makhdoumi, Ali
作者单位：University of Southern California; Duke University
摘要：We consider the problem of a seller of data who sells information to a buyer regarding an unknown (to both parties) state of the world. Traditionally, the literature explores one-round strategies for selling information because of the seller's holdup problem: once a portion of the data set is released, the buyer's estimate improves, and as a result, the value of the remaining data set drops. In this paper, we show that this intuition is true when the buyer's objective is to improve the precisi...
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作者：He, Ai; Huang, Dashan; Li, Jiaen; Zhou, Guofu
作者单位：University of South Carolina System; University of South Carolina Columbia; Singapore Management University; Washington University (WUSTL)
摘要：We provide a reduced-rank approach (RRA) to extract a few factors from a large set of factor proxies and apply the extracted factors to model the cross-section of expected stock returns. Empirically, we find that the RRA five-factor model outperforms the wellknown Fama-French five-factor model as well as the corresponding principal component analysis, partial least squares, and least absolute shrinkage and selection operator models for pricing portfolios. However, at the stock level, our RRA f...
